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3-Year U.S. Treasury Note Futures
Introducing a New Addition to the U.S. Treasury Futures Complex

View 3-Year T-Note futures quotes

The launch of 3-Year U.S. Treasury Note futures creates a new marketplace for managing the interest rate exposure associated with the 3-year sector of the U.S.Treasury yield curve, and should have a significant impact on the strategies of market participants around the world.

In reaction to the economic and financial crises of 2008, the United States Congress has approved various relief and stimulus plans that will drive U.S. Treasury debt issuance to historic levels in 2009. To assist in the funding of these various programs, the U.S. Treasury Department began to re-issue 3-year Treasury notes on a monthly basis in November 2008. Industry estimates are that the Treasury will auction 3-year notes in significantly large issuance—between $30 and $35 billion on a monthly basis, or $360 and $420 billion annually.

The addition of 3-Year T-Note futures to the CME Group U.S. Treasury complex provides the market with the ability to respond to this surge in 3-year issuance, opening up a variety of new risk management and trading opportunities, including implied spreads against the existing Treasury futures contracts.

Watch Pete Barker, Director of Interest Rate Products, discuss the new 3-Year T-Note contract
3-Year T-Note Futures Contract Specifications
Additional Resources

Contract Design

The features of 3-Year T-Note futures complement the design of the current suite of Treasury futures contracts. The notional contract size is $200,000, the minimum tick is one-quarter of one thirty-second ($15.625), and it trades on the March quarterly cycle. 3-Year T-Note futures will trade both open outcry and on CME Globex, and will be eligible for block and all-or-none (AON) transactions. It will have an electronic trading algorithm identical to that of the 2-Year T-Note.

Like its Treasury futures counterparts, the 3-Year T-Note contract calls for the physical delivery of cash securities. Specifically, 3-Year T-Note futures have a deliverable grade composed of cash 3-year notes and 5-year notes that have a remaining time-to-maturity between 2-3/4 and 3 years, thus ensuring that 3-Year T-Note futures will serve as a distinct pricing benchmark for the 3-year sector of the yield curve. In general, 3-Year T-Note futures will have a deliverable basket composed of eight cash securities (four 3-year notes and four 5-year notes) that will have a combined notional amount of at least $240 billion.

3-Year T-Note futures have the same last trading day and delivery cycle as 2-Year and 5-Year T-Note futures.

Applications

• Mortgage Hedging: The 3-year sector is a key duration point in the mortgage industry and presents significant cross-hedging opportunities for 3-Year T-Note futures.
• Hedging Federal Deposit Insurance Corporation (FDIC) Insured Corporate Issuance: 3-Year T-Note futures present unique cross-hedging opportunities for FDIC insured corporate notes issued in the 3-year sector by banks and other financial institutions.
• Spreading Against Eurodollar Futures: 3-Year T-Note futures can be used in combination with Eurodollar futures to create a 3-year Treasury-over-Eurodollar (TED) futures spread.
• Treasury Yield Curve Spreads: 3-Year T-Note futures can also be used in combination with other 2-, 5-, and 10-Year T-Notes, and 30-Year T-Bond futures to take advantage of relative value opportunities across the yield curve. Pre-defined, implied intercommodity futures spreads for 3-Year T-Note futures against the extant Treasury futures contracts will also be available on CME Globex.

For more information, contact:

Peter Barker (312-930-8554)
Jonathan Kronstein (312-930-3472)

Additional Resources

•  3-Year T-Note Futures Delivery Basket
•  3-Year T-Note Futures Delivery Cycle
•  3-Year T-Note Futures Fact Card
•  3-Year T-Note Futures Vendor Codes