UST FUTURES CONTRACTS

$200,000 face value U.S. Treasury note

Physically settled futures contracts with daily variation margin payment

LCH

F02

Bloomberg: KFBA Comdty

LSEG/Refinitiv: FOFMYY

The three nearest quarterly months of the March, June, September, and December cycle.

Daily 9:00 PM – 5:00 PM (ET), Sunday to Friday

Points and fractions of points with par on the basis of 100 points, 1 point = $2,000

Tick Size

Outright

1/8 of 1/32^nd of a point (0.00390625)

$7.8125

Calendar Spread

1/8 of 1/32^nd of a point (0.00390625)

$7.8125

Reserved

The DSP will be calculated at 3:00 PM ET and disseminated shortly afterwards.

Second business day prior to the first business day of the contract’s named month.

First business day of the next following calendar month after the contract’s named month.

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.

Physical Delivery of a note selected from the basket of deliverable U.S. Treasury notes.

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.

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.

The FSP will be calculated at 1:01 PM ET and disseminated shortly afterwards.

$100,000 face value U.S. Treasury note

Physically settled futures contracts with daily variation margin payment

LCH

F05

Bloomberg: KFDA Comdty

LSEG/Refinitiv: FOHMYY

The three nearest quarterly months of the March, June, September, and December cycle.

Daily 9:00 PM – 5:00 PM (ET), Sunday to Friday

Points and fractions of points with par on the basis of 100 points, 1 point = $1,000

Outright

1/8 of 1/32^nd of a point (0.00390625)

$3.90625

Calendar Spread

1/8 of 1/32^nd of a point (0.00390625)

$3.90625

Reserved

The DSP will be calculated at 3:00 PM ET and disseminated shortly afterwards.

Second business day prior to the first business day of the contract’s named month.

First business day of the next following calendar month after the contract’s named month.

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.

Physical Delivery of a note selected from the basket of deliverable U.S. Treasury notes.

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.

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.

The FSP will be calculated at 1:01 PM ET and disseminated shortly afterwards.