U.S. Treasury Bond Futures Trading

Position accountability, as defined in Rule 560, will apply to trading of U.S. Treasury Bond futures.

(b) liquidated by means of a bona fide Exchange of Futures for Related Position (Rule 538.) no later than 12:00 noon on the fifth business day preceding the last business day of the contract’s named month of expiration

Invoice Amount = ($1000 x P x c) + Accrued Interest

where P is the contract daily settlement price on the day that the short Clearing Member gives the Clearing House notice of intention to deliver (Rule 18104.A.). P shall be expressed in points and fractions of points with par on the basis of 100 points (Rule 18102.C.); and

c is a conversion factor equal to the price at which a bond with the same time to maturity as said bond or, if callable, same time to first call (as per Rule 18101.A.), and with the same coupon rate as said bond, and with par on the basis of one (1) point, will yield 6% per annum according to conversion factor tables prepared and published by the Exchange.

For each individual contract lot that is delivered, the product expression ($1000 x P x c) shall be rounded to the nearest cent, with half-cents rounded up to the nearest cent.

Example: Assume that P is 100 and 25/32nds. Assume that c is 0.9633. The product expression ($1000 x P x c) is found to be $97,082.578125. The rounded amount that enters into determination of the Invoice Amount is $97,082.58.

In the determination of the Invoice Amount for each individual contract lot being delivered, Accrued Interest shall be charged to the long Clearing Member taking delivery by the short Clearing Member making delivery, in accordance with 31 CFR Part 306--General Regulations Governing U.S. Securities, Subpart E--Interest. See also Rule 18102.B.

Deliveries against an expiring contract can be made no earlier than the first business day of the contract’s named month of expiration, and no later than the last business day of the contract’s named month of expiration (Rule 18103).

All deliveries must be assigned by the Clearing House.

(a) if not callable, have a remaining term to maturity of at least 15 years but less than 25 years; or

(b) if callable, are not callable for at least 15 years, and have a remaining term to maturity of less than 25 years.

For the purpose of determining a U.S. Treasury bond’s eligibility for contract grade, its remaining term to maturity (or, if callable, its remaining term to first call) shall be calculated from the first day of the contract’s named month of expiration, and shall be rounded down to the nearest three-month increment (e.g., 15 years 5 months 18 days shall be taken to be 15 years 3 months).

New issues of U.S. Treasury bonds that satisfy the standards in this Rule shall be added to the contract grade as they are issued. Notwithstanding the foregoing, the Exchange shall have the right to exclude any new issue from the contract grade or to further limit outstanding issues from the contract grade.