NYSE Liffe US 2-Year Note Futures

From MarketsWiki
Jump to navigation Jump to search

FTSE Russell banner 2016.gif
FTSE Russell banner 2016.gif

Two-year U.S. Treasury Note Futures futures
Exchange [[NYSE Liffe US]]
Settlement Cash settled
Contract Size One U.S. Treasury note having a face value at maturity of $200,000.
Pricing Unit Need pricing unit!
Tick Value One-quarter of one thirty-second (1/32) of one point ($15.625, rounded up to the nearest cent per contract), including intermonth spreads.
Contract Months Contract expiration months include the first five consecutive contracts in the March, June, September, and December quarterly cycle.
First Notice Date For all days except for the day preceding the Last Delivery Day, by 2:00pm CT, the short nominates the treasury securities to be delivered. For the day preceding the Last Delivery Day, by 3:00pm CT, the short nominates that they have been assigned in advance of this time frame, however the actual CUSIP is not identified until after the short has input the CUSIP to be delivered. A cash market trade is then created based on the assigned position. The cash market trade is based on Intent Day settlement price, and is reported by FICC by NYPC following completion of assignment.
Last Trading Day Trading stops at the last business day of the expiring month. Trading in expiring contracts closes at 12:01pm CT on the last trading day.
Note: This contract is electronic ONLY -- no open outcry
  No Open Outcry Electronic
Trading Hours N/A 6:45pm - 4:00pm (day + 1) Central Time, Sunday-Friday, Daily Settlement to occur at 2:00pm Central Time
Ticker Symbol N/A TU (Exchange Code: V)
Price Limits N/A 25,000 lots during the last 10 days of trading. Positions are reportable above 1,000 lots, with a position accountability level of 7,500 lots, as defined by NYSE Liffe US rules.

[[Category:Futures Contracts Traded on NYSE Liffe US]]

Also See[edit]

NYSE Liffe US Interest rate Futures