U.S. Treasury Futures and Options

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1 INTEREST RATES U.S. Treasury Futures and Options PLAY AN IMPORTANT ROLE IN THE RISK MANAGEMENT STRATEGIES OF GLOBAL MARKET PARTICIPANTS. Overview U.S. Treasury futures and options provide a wide variety of market participants around the globe with the ability to adjust their interest rate exposure. Futures and options on Treasury Bonds and Notes are key tools for those who wish to manage their interest rate risk, as well as those who wish to take advantage of price volatility. In January 2016, Ultra 10-Year Treasury Note futures a nd options were added to the Treasury complex. These new contracts provide hedgers, speculators and relative value investors with a more efficient way to trade 10-year Treasury exposure. Among the most liquid products in the world, Treasury futures and options lend themselves to a variety of risk management and trading applications, including hedging, income enhancement, duration adjustments, interest rate speculation and spread trades. The availability of Treasury futures and options on CME Globex further enhances the efficiency of trading these products, providing nearly 24-hour access for users around the world. Serial, Quarterly and Weekly Treasury Options (WTOs) provide more opportunities for market participants, allowing flexibility in managing existing option positions, targeted trading based on market volatility, and the ability to trade financial exposure to high impact economic events. Block trading is available for Treasury futures and options Visit cmegroup.com/blocks for more information, including minimum thresholds and reporting time requirements. In addition, pre-defined, implied intercommodity spreads among various Treasury futures, and between Treasury futures and Interest Rate Swaps futures, are available on CME Globex. For more information, including current spread ratios, visit cmegroup.com/ics. To learn more about our U.S. Treasury futures and options, visit cmegroup.com/treasury.

2 Treasury Note Futures Specifications 2-Year Treasury Note Futures 3-Year Treasury Note Futures Contract Size One U.S. Treasury note having a face value at maturity of $200,000 Deliverable Grades Price Quote Contract Months Last Delivery Day Delivery Method Treasury notes with original term to maturity of not more than 5 years 3 s from the first day of the, remaining term to maturity of at least 1 year 9 s from the first day of the, and remaining term to maturity of not more than 2 years from the last day of the. Treasury notes with original term to maturity of not more than 5 years 3 s from the first day of the, remaining term to maturity of at least 2 years 9 s from the first day of the, and remaining term to maturity of not more than 3 years from the last day of the Points ($2,000) and quarters of 1/32 of a point. For example, represents /32, represents /32, represents /32 and represents /32. The minimum price fluctuation shall be 1/4 of 1/32 ($15.625) rounded up to the nearest cent per contract). Par shall be on the basis of 100 points. The first three consecutive contracts in the March, June, September and December quarterly cycle The last business day of the contract expiry Third business day following the last trading day Federal Reserve book-entry wire-transfer system Trading in expiring contracts closes at 12:01 p.m. CT on the last trading day. CME Globex: ZT Clearing: 26 CME Globex: Z3N Clearing: 3YR Treasury Note Options Specifications 2-Year Treasury Note Options Contract Size Strike Prices Contract Listings Exercise Expiration One 2-Year Treasury Note futures contract of a specified One-half of 1/64 of a point ($15.625) rounded up to the nearest cent per contract) Strike prices will be listed in increments of one-eighth At least 2 consecutive contract s in the March, June, September, December quarterly cycle. 3 consecutive contract s in the non- quarterly cycle (serial s). Weekly options: Weeks 1-5, corresponds to the Fridays of each where there is not a serial or quarterly expiration. Quarterlies will exercise into futures contracts of the same delivery period as such options named of expiration. Serial options will exercise into futures contracts for delivery in the March quarterly cycle next following such option s named of expirations. Weekly options will exercise into futures contracts for delivery in a March quarterly cycle following such options date of expiration as designated by the Exchange when such weekly option is listed for trading. Options cease trading on the last Friday, which precedes by at least two business days, the last business day of the preceding the option. Weekly options: A given Friday that is not also the last trading day of a quarterly or serial option. American-style. The buyer of a futures option may exercise the option on any business day prior to expiration by giving notice to CME Clearing by 6:00 p.m. CT. Options that expire in-the-money are automatically exercised into a position, unless specific instructions are given to CME Clearing. Unexercised options shall expire at 7:00 p.m. CT on the last day of trading Open Outcry: 7:20 a.m. 2:00 p.m. CT, Monday Friday Trading in expiring options ceases at the close of the regular CME Globex trading session for the corresponding 2-Year Treasury Note futures contracts. Open Outcry Calls/Puts: TUC/TUP Weekly Options: TW1-5 CME Globex: OZT Weekly Options: ZT1-5 Clearing: 26/ Weekly Options TW1-5

3 Treasury Note Futures Specifications 5-Year Treasury Note Futures 10-Year Treasury Note Futures Ultra 10-Year Note Futures Contract Size One U.S. Treasury note having a face value at maturity of $100,000 Deliverable Grades Price Quote Contract Months Treasury notes with original term to maturity of not more than 5 years 3 s, and remaining term to maturity of not less than 4 years 2 s, from the first day of the. Points ($1,000) and quarters of 1/32 of a point. For example, represents /32, represents /32, represents /32 and represents /32. The minimum price fluctuation shall be one-quarter of one thirty-second (1/32) of one point ($ rounded up to the nearest cent per contract) including inter spreads. Par shall be on the basis of 100 points. Treasury notes with remaining term to maturity of at least 6 years 6 s, but not more than 10 years, from the first day of the. Points ($1,000) and halves of 1/32 of a point. For example, represents /32 and represents /32. The minimum price fluctuation shall be one-half of one thirty-second (1/32) of one point ($ rounded up to the nearest cent per contract) except for inter spreads, where the minimum price fluctuation shall be one-quarter of one thirty-second of one point ($ rounded up to the nearest cent per contract). Par shall be on the basis of 100 points. Treasury notes with remaining term to maturity of at least 9 years 5 s, but not more than 10 years, from the first day of the delivery. Points ($1,000) and halves of 1/32 of a point. For example, represents /32 and represents /32. The minimum price fluctuation shall be one-half of one thirty-second (1/32) of one point ($ rounded up to the nearest cent per contract) except for inter spreads, where the minimum price fluctuation shall be one-quarter of one thirty-second of one point ($ rounded up to the nearest cent per contract). Par shall be on the basis of 100 points. The first three consecutive contracts in the March, June, September and December quarterly cycle Last Delivery Day Delivery Method The last business day of the contract expiry Third business day following the last trading day Federal Reserve book-entry wire-transfer system Seventh business day preceding the last business day of the Last business day of the delivery Seventh business day preceding the last business day of the Last business day of the Trading in expiring contracts closes at 12:01 p.m. CT on the last trading day. CME Globex: ZF CME Globex: ZN CME Globex: TN Clearing: 25 Clearing: 21 Clearing: TN

4 Treasury Note Options Specifications Contract Size 5-Year Treasury Note Options 10-Year Treasury Note Options Ultra 10-Year Note Options One 5-Year Treasury Note futures contract of a specified delivery One-half of 1/64 of a point ($ rounded up to the nearest cent per contract) Strike Price Interval Contract Listings Exercise Expiration Strike prices will be listed in increments of one-quarter of one point. One 10-Year Treasury Note futures contract of a specified delivery 1/64 of a point ($ rounded up to the nearest cent per contract) Weeklies and Front Serial or Quarterly Expirations: Strike Prices will be listed in increments of onequarter All other Expirations: Strike prices will be listed in increments of one-half of one point. One Ultra 10-Year Treasury Note futures contract of a specified 1/64 of a point ($ rounded up to the nearest cent per contract) Weeklies and Front Serial or Quarterly Expirations: Strike Prices will be listed in increments of onequarter All other Expirations: Strike prices will be listed in increments of onehalf At least 2 consecutive contract s in the March, June, September, December quarterly cycle. 3 consecutive contract s in the non- quarterly cycle (serial s). Weekly options: Weeks 1-5, corresponds to the Fridays of each where there is not a serial or quarterly expiration. Quarterlies will exercise into futures contracts of the same delivery period as such options named of expiration. Serial options will exercise into futures contracts for delivery in the March quarterly cycle next following such option s named of expirations. Weekly options will exercise into futures contracts for delivery in a March quarterly cycle following such options date of expiration as designated by the Exchange when such weekly option is listed for trading. Options cease trading on the last Friday, which precedes by at least two business days, the last business day of the preceding the option. Weekly options: A given Friday that is not also the last trading day of a quarterly or serial option. American-style. The buyer of a futures option may exercise the option on any business day prior to expiration by giving notice to CME Clearing by 6:00 p.m. CT. Options that expire in-the-money are automatically exercised into a position, unless specific instructions are given to CME Clearing. Unexercised options shall expire at 7:00 p.m. CT on the last day of trading Open Outcry: 7:20 a.m. 2:00 p.m. CT, Monday Friday Trading in expiring options ceases at the close of the regular CME Globex trading session for the corresponding Treasury Note Futures contracts. Open Outcry Calls/Puts: FL /FP Weekly Options: FV1-5 CME Globex: OZF Weekly Options: ZF1-5 Clearing 25/Weekly Options: FV 1-5 Open Outcry Calls/Puts: TC/ TP Weekly Options: TY1-5 CME Globex: OZN Weekly Options: ZN1-5 Clearing 21/Weekly Options: TY1-5 Open Outcry: OTN Weekly Options: TN 1-5 CME Globex: OTN Weekly Options: TN1-5 Clearing TN/Weekly Options: TN1-5

5 Treasury Bond Futures Specifications Treasury Bond Futures Ultra Treasury Bond Futures Contract Size One U.S. Treasury bond having a face value at maturity of $100,000 Deliverable Grades Treasury bonds with remaining term to maturity of at least 15 years but less than 25 years from the first day of the. Treasury bonds with remaining term to maturity of at least 25 years from the first day of the delivery Price Quote Points ($1,000) and 1/32 of a point. For example, represents /32. Contract Months Last Delivery Day Delivery Method The minimum price fluctuation shall be one thirty-second (1/32) of one point ($31.25) except for inter spreads, where the Minimum price fluctuation shall be one-quarter of one thirty-second point of one point ($ per contract). Par shall be on the Basis of 100 points. The first three consecutive contracts in the March, June, September and December quarterly cycle Seventh business day preceding the last business day of the Last business day of the Federal Reserve book-entry wire-transfer system Trading in expiring contracts closes at 12:01 p.m. CT on the last trading day. CME Globex: ZB Clearing: 17 Globex: UB Clearing: UBE Treasury Bond Options Specifications Contract Size T-Bond Options One Treasury Bond futures contract of a specified Ultra T-Bond Options One Ultra Treasury Bond futures contract of a specified 1/64 of a point ($ rounded up to the nearest cent per contract) Strike Price Interval Weeklies and Front Serial or Quarterly Expirations: Strike Prices will be listed in increments of onehalf All other Expirations: Strike prices will be listed in increments Contract Listings At least 2 consecutive contract s in the March, June, September, December quarterly cycle. Plus 3 consecutive contract s in the non- quarterly cycle. (Serial s). Plus Weekly Options: Weeks 1-5, corresponds to the Fridays of each where there is not a serial or quarterly expiration. Quarterlies will exercise into futures contracts of the same delivery period as such options named of expiration. Serial options will exercise into futures contracts for delivery in the March quarterly cycle next following such option s named of expirations. Weekly options will exercise into futures contracts for delivery in a March quarterly cycle following such options date of expiration as designated by the Exchange when such weekly option is listed for trading. Exercise Expiration Options cease trading on the last Friday, which precedes by at least two business days, the last business day of the preceding the option. Weekly options: A given Friday that is not also the last trading day of a quarterly or serial option. American-style. The buyer of a futures option may exercise the option on any business day prior to expiration by giving notice to CME Clearing by 6:00 p.m. CT. Options that expire in-the-money are automatically exercised into a position, unless specific instructions are given to CME Clearing. Unexercised options shall expire at 7:00 p.m. CT on the last day of trading Open Outcry: 7:20 a.m. 2:00 p.m. CT, Monday Friday Trading in expiring T-Bond and Ultra T-Bond options ceases at the close of the regular CME Globex trading session for the corresponding futures contracts Open Outcry Calls/Puts: CG/ PG Weekly Options: US1-5 CME Globex: OZB Weekly Options: ZB1-5 Clearing: 17/Weekly Options: US 1-5 Open Outcry: OUL Weekly Options: UL1-5 CME Globex: OUB Weekly Options: UB1-5 Clearing: UBE/Weekly Options : UL 1-5

6 CME GROUP HEADQUARTERS CME GROUP GLOBAL OFFICES 20 South Wacker Drive Chicago, Illinois cmegroup.com Chicago Singapore Houston Tokyo New York Calgary São Paulo Washington D.C London Hong Kong Seoul The information within this brochure has been compiled by CME Group for general purposes only. CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this brochure are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. For persons based in the EEA, this brochure has been issued by CME Marketing Europe Limited. CME Marketing Europe Limited (FRN: ) is authorized and regulated by the Financial Conduct Authority in the United Kingdom. The information contained in this brochure is provided as is and without any warranty of any kind, either express or implied. CME Group assumes no responsibility for any errors or omissions. The information and any materials contained in this brochure should not be considered as an offer or solicitation to buy or sell financial instruments, provide financial advice, create a trading platform, facilitate or take deposits or provide any other financial products or financial services of any kind in any jurisdiction. The information contained in this presentation is provided for information purposes only and is not intended to provide, and should not be construed as, advice. It does not take into account your objectives, financial situation or needs. You should obtain appropriate professional advice before acting on or relying on this material. Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage of a contract s value is required to trade, it is possible to lose more than the amount of money deposited for a futures position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any one trade because they cannot expect to profit on every trade. All references to options refer to options on futures. CME Group and 芝 商 所 are trademarks of CME Group Inc. The Globe logo, E-mini, E-micro, Globex, CME and Chicago Mercantile Exchange are trademarks of Chicago Mercantile Exchange Inc. ( CME ) CBOT and Chicago Board of Trade are trademarks of the Board of Trade of the City of Chicago, Inc. ( CBOT ). ClearPort and NYMEX are trademarks of the New York Mercantile Exchange, Inc. ( NYMEX ) These may not be modified, reproduced, stored in a retrievable system, transmitted, copied, distributed or otherwise used without the written permission of the party owning these materials. Treasury futures and options are subject to the rules and regulations of CBOT. All matters pertaining to rules and specifications herein are made subject to and are superseded by official Exchange rules. Current rules should be consulted in all cases concerning contract specifications. CME, CBOT and NYMEX are each registered as a Recognized Market Operator in Singapore and authorized as Automated Trading Service providers in Hong Kong S.A.R. Further the information contained herein does not constitute the provision of direct access with any foreign financial instrument market or clearing services for foreign financial instrument market transactions defined under Japan s Financial Instrument & Exchange Act (Law No. 25 of 1948, as amended). CME Europe Limited is not registered or licensed to provide, nor does it purport to provide financial services of any kind in any jurisdiction in Asia including Hong Kong, Singapore or Japan. None of CME Group entities are registered or licensed to provide, nor does it purport to provide, financial services of any kind in People s Republic of China or Taiwan. This brochure is for distribution in Korea and Australia solely to professional investors, as defined in Article 9(5) of the Financial Investment Services and Capital Markets Act and related rules and in the Corporations Act 2001 (Cth) and related rules respectively, circulation should be restricted accordingly. Copyright 2016 CME Group and 芝 商 所 All rights reserved. PM264/00/0716