HomeAbout ELXTechnologyProductsServicesFAQContact ELX
  Products  
Eurodollar Futures
Interest Rates
   Contract Specifications
      Eurodollar Futures
      2 Year Notes
      5 Year Notes
      10 Year Notes
      30 Year Bonds
      Ultra Long Bonds
   Conversion Factors
   Delivery Process
Rules & Regulations
Margin Rates
Notices to Participants
Trading Hours
Fee Schedule
Block Trades
Settlement Prices
Quote Vendor Codes

  5 Year Notes  
Product Name
Medium Term (5 Year) U.S. Treasury Note Futures
Contract Size
One U.S. Treasury note having face value at maturity of $100,000
Deliverable Grades
U.S. Treasury notes with an original term to maturity of not more than 5 years and 3 months and a remaining term to maturity of not less than 4 years and 2 months as of the first day of the delivery month. The invoice price equals the Futures settlement price times a conversion factor, plus accrued interest. The conversion factor is the price of the delivered bond ($1 par value) to yield 6 percent.
Tick Size
The minimum price fluctuation shall be one quarter of one thirty-second (1/32) of one point ($7.8125 rounded up to the nearest cent per contract). Par shall be on the basis of 100 points.
Price Quote
Points ($1,000) and quarters of 1/32 of a point. For example, 101-16 represents 101 16/32, 101-162 represents 101 16.25/32, 101-165 represents 101 16.5/32 and 101-167 represents 101 16.75/32.
Contract Months
Mar, Jun, Sep, Dec
Last Trading Day
Last business day of the calendar month.  Trading in expiring contracts closes at 1:01 p.m. ET on the last trading day.
Last Delivery Day
Third business day following the last trading day.
Delivery Method
Federal Reserve book-entry wire transfer system.
Trading Hours
Spot Month Limit 45,000 (applicable to the last ten trading days of the expiring futures month)
Accountability Level 7,500
Reportable Level 2,000
Block Trade Minimum 1,000
Ticker Symbols
ZFe
No Bust Range 15//32nds
Margin Rate View Margin Rates