ELX Ultra Long-Term U.S. Treasury Bond Futures

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The Ultra Long-Term U.S. Treasury Bond Futures contract is a product launched by ELX Futures on Jan. 11, 2010. The aim of the contract is to profit from investor desire to use longer-duration instruments to hedge positions. The Ultra Long-Term contract is part of ELX's suite of U.S. Treasury futures products already trading, including the 2-Year Note Futures, 5-Year Note Futures, 10-Year Note Futures, and the 30-Year Bond Futures.

ELX Futures lists three contract months of the Ultra Long-Term contract on a quarterly cycle and the associated calendar spreads, beginning with the March 2010 contract. The current fee schedule and trading hours for the existing ELX U.S. Treasury futures apply.[1]

The contract launch occurred on the same date as the launch of CME Group's Ultra T-Bond Futures contract.[2]


Ultra Long-Term U.S. Treasury Bond futures
Exchange ELX Futures
Settlement Cash settled
Contract Size One U.S. Treasury bond having face value at maturity of $100,000. U.S. Treasury bonds that, if callable, are not callable for at least 25 years from the first day of the delivery month or, if not callable, have remaining term to maturity of at least 25 years from 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.
Pricing Unit Points ($1,000) and halves of 1/32 of a point. For example, 105-16 represents 105 16/32, and 105-165 represents 105 16.5/32.
Tick Value The minimum price fluctuation shall be one half of one thirty-second (1/32) of one point ($15.625 rounded up to the nearest cent per contract) except for inter-month spreads, where the minimum price fluctuation shall be one quarter of one thirty-second of one point ($7.8125 per contract). Par shall be on the basis of 100 points.
Contract Months Mar, Jun, Sep, Dec
Last Trading Day Last business day of the delivery month
Note: This contract is electronic ONLY -- no open outcry
  No Open Outcry Electronic
Trading Hours N/A 6 p.m. to 5 p.m. Eastern Time, Sunday through Thursday
Ticker Symbol N/A ZUe
Price Limits N/A N/A

Notes

  1. Press Release. PR-Inside.
  2. CME Rival ELX To List Ultra Long Bond Futures On Jan 11. Morningstar.


Also See

ELX Futures, L.P.

Resources

ELX Futures Website