Ultra Treasury Bond Futures

In accordance with Rule 559., no person shall own or control positions in excess of 20,000 contracts in an expiring contract during the contract’s last 10 trading days (Rule 40102.F.). No hedge exemptions will be permitted with respect to this position limit.

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

No trades in an expiring contract shall be made during the last 7 business days of the contract’s named month of expiration. Any contract remaining open after the last day of trading must be either:

(a) settled by physical delivery no later than the last business day of the contract’s named month of expiration (Rule 40103.); or

(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.

Each individual contract lot that is delivered must be composed of one and only one contract grade Treasury bond issue. The amount at which the short Clearing Member making delivery shall invoice the long Clearing Member taking delivery of said securities (Rule 40105.A.) shall be determined as:

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 40104.A.). P shall be expressed in points and fractions of points with par on the basis of 100 points (Rule 40102.C.); and

c is a conversion factor equal to the price at which a security with the same time to maturity as said security (as per Rule 40101.A.), and with the same coupon rate as said security, 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 40102.B.

Deliveries against expiring contracts shall be by book-entry transfer between accounts of Clearing Members at qualified banks (Rule 40109.) in accordance with 31 CFR Part 306--General Regulations Governing U.S. Securities, Subpart O--Book-Entry Procedure, and 31 CFR Part 357-- Regulations Governing Book-Entry of U.S. Treasury Bonds, Notes and Bills held in Legacy Treasury Direct®.

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 40103).

All deliveries must be assigned by the Clearing House

Delivery of contract grade U.S. Treasury bonds may be made by a short Clearing member, upon any business day of the contract delivery month that the short Clearing Member may select. The contract delivery month shall be derived so as to commence on, and to include, the first business day of the contract’s named month of expiration, and to extend to, and to include, the last business day of the contract’s named month of expiration.

The contract grade for delivery on futures made under these Rules shall be U.S. Treasury fixed principal bonds which have fixed semi-annual coupon payments, and which have a remaining term to maturity of at least 25 years.

For the purpose of determining a U.S. Treasury security’s eligibility for contract grade, its remaining term to maturity 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., 12 years 5 months 18 days shall be taken to be 12 years 3 months).

New issues of U.S. Treasury securities 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.