FMX Futures Exchange launched with 2-year and 5-year U.S. Treasury Note futures on May 19th, 2025, with plans to expand to additional contracts in the future! Reach out to [email protected] for more information.
2-year U.S. Treasury Note Futures
| Parameter | Description | ||
| Contract Underlying |
$200,000 face value at maturity U.S. Treasury Note |
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| Type of Contract |
Physically-settled futures contracts with daily variation margin payment |
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| Central Counterparty |
LCH Limited |
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| Product Code |
F02 |
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| Vendor Codes |
Bloomberg: KFBA Comdty LSEG D&A RIC: F0FMMY |
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| Listed Contracts |
The three nearest quarterly months of the March, June, September and December cycle. |
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| Trading Hours |
Daily 6:00 PM – 5:00 PM (ET)*, Sunday to Friday |
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| Quotation Display & Value |
Points and fractions of points with par on the basis of 100 points, 1 point = $2,000 |
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| Minimum Tick Size | Trade Type |
Tick Size |
Tick Value |
|
Outright |
1/8 of 1/32nd of a point (0.00390625) |
$7.8125 |
|
|
Calendar Spread |
1/8 of 1/32nd of a point (0.00390625) |
$7.8125 |
|
| Minimum Block Size |
[Reserved] |
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| Daily Settlement Price (DSP) |
The DSP will be calculated at 3:00 PM ET and disseminated shortly afterwards. |
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| Accountability Level |
7,500 contracts (any one month or all months combined) |
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| Position Limit |
40,000 contracts (spot month only) |
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| First Intention Day |
Second Business Day prior to the first calendar day of the delivery month. |
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| Last Intention Day |
First Business Day of the next following calendar month after contract’s named month. |
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| Delivery Period |
First business day of the contract’s named month extending to and including the third business day of the month following the contract’s named month. |
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| Settlement Style |
Physical Delivery of a note selected from the basket of approved deliverable U.S. Treasury notes. |
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| Deliverable Bond Standards |
U.S. Treasury notes that have an original term to maturity of not more than 5 years and 3 months and a remaining term to maturity of at least 1 year and 9 months from the first day of the contract’s named month and not more than 2 years from the last day of the contract’s named month. The delivery invoice amount 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. |
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| Last Trading Day |
The last Business Day of the delivery month. On the Last Trading Day, trading in the front delivery month will cease at 1:01 PM ET. |
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| Final Settlement Price (FSP) |
The FSP will be calculated on the Last Trading Day at 1:01 PM ET and disseminated shortly afterwards. |
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For complete contract rules, please click here.
5-Year U.S. Treasury Note Futures
Minimum Block Size
Reserved
| Parameter | Description | ||
| Contract Underlying |
$100,000 face value at maturity U.S. Treasury Note |
||
| Type of Contract |
Physically-settled futures contracts with daily variation margin payment |
||
| Central Counterparty |
LCH Limited |
||
| Product Code |
F05 |
||
| Vendor Codes |
Bloomberg: KFDA Comdty LSEG D&A RIC: F0HMMY |
||
| Listed Contracts |
The three nearest quarterly months of the March, June, September, and December cycle. |
||
| Trading Hours |
Daily, 6:00 PM – 5:00 PM (ET)*, Sunday to Friday |
||
| Quotation Display & Value |
Points and fractions of points with par on the basis of 100 points, 1 point = $1,000 |
||
| Minimum Tick Size | Trade Type | Tick Size | Tick Value |
|
Outright |
1/8 of 1/32nd of a point (0.00390625) |
$3.90625 |
|
|
Calendar Spread |
1/8 of 1/32nd of a point (0.00390625) |
$3.90625 |
|
| Accountability Level |
7,500 contracts (any one month or all months combined) |
||
| Position Limit |
85,000 contracts (spot month only) |
||
| Minimum Block Size |
[Reserved] |
||
| Daily Settlement Price (DSP) |
The DSP is calculated at 3:00 PM ET and disseminated shortly afterwards. |
||
| First Intention Day |
Second business day prior to the first business day of the contract’s named month. |
||
| Last Intention Day |
First business day of the next following calendar month after the contract’s named month. |
||
| Delivery Period |
First business day of the contract’s delivery month extending to and including the third business day of the month following the contract’s named month. |
||
| Settlement Style |
Physical Delivery of a note selected from the basket of deliverable U.S. Treasury notes. |
||
| Deliverable Bond Standards |
U.S. Treasury notes that have an original term to maturity of not more than 5 years and 3 months and a remaining term to maturity of at least 4 years and 2 months from the first day of the contract’s named month. The delivery invoice amount 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. |
||
| Last Trading Day |
The last business day of the delivery month. On the Last Trading Day, trading in the front delivery month will cease at 1:01 PM ET |
||
| Final Settlement Price (FSP) |
The FSP will be calculated on the Last Trading Day at 1:01 PM ET and disseminated shortly afterwards. |
||
For complete contract rules, please click here.