July Rates Recap

Clients preparing for July 13* relaunch of 3-Year Note futures

Industry readiness for enhanced 3-Year Note futures is ramping up ahead of the July 13* go live date.

  • Contract upgrades: reduced tick size (1/8), new matching algo (FIFO), and a broader delivery basket (includes old 7yrs).  
  • Significant client testing in New Release (test environment). 
  • Strong support from top Treasury market makers. 
  • A growing number of ISVs are ready to support outrights and spreads.

Vendor Codes

  Outrights 2Y v. 3Y 3Y v. 5Y 3Y v. 10Y 3Y v. Ultra 10Y
CME Globex Z3N TYT TOF TUN TYX
Bloomberg 3Y        
CQG Z3N TYT TOF TUN GTYX
DTN @3N @TYT @TOF @TUN @TYX
Fidessa Z3N TYT TOF TUN TYX
FIS Global Z3N TYT TOF TUN TYX
ION (Pats, FFastFill) Z3N TYT TOF TUN TYX
Itiviti (Orc, Tbricks) Z3N TYT TOF TUN TYX
Refinitiv Globex RIC 1Y 1TYT-1TYT 1TOF-1TOF 1TUN-1TUN 1TYX-1TYX
TT Z3N ZT|Z3N Z3N|ZF Z3N|ZN Z3N|TN
Vela Z3N TYT TOF TUN TYX

Read: A User's Guide to Enhanced 3-Year Futures


Record 3-year issuance emphasizes need for an efficient hedging tool

With 3-year exposure expected to rise considerably in the quarters ahead, enhanced 3-Year Note futures have been met with strong client interest.

  • June’s 3-year note auction was the largest ever ($44B) and saw solid demand (2.55 bid-to-cover was the third highest in the last 12 months).
  • 3-year auctions are expected to increase by $2B per month through year-end.
  • When paired with the addition of aging 7-year notes, the 3-Year’s deliverable basket could increase to over $500B for the Mar2021 contract.

View: Issuance & deliverable basket projections


2-Year Note futures celebrate 30th anniversary

As one of the world's most actively traded futures contracts, the 2-Year Note has become a flagship for risk management at the short-end of the Treasury curve.

Its success was not immediate, though. It took two listings and several years for it to find its place as a key part of Treasury markets.

Read: 30 Years of the Two-Year Note


Dynamic circuit breakers coming to Treasury futures July 27*

Please see the SER below for more details.

SER-8542

SOFR: 2020 mid-year recap

Read our full mid-year recap for an in-depth look at SOFR futures adoption, floating-rate note trends, and upcoming deadlines to watch.

H1 2020 SUMMARY

  • SOFR futures averaged 45K contracts/day, +59% YoY.
  • Open interest continues to extend out the curve, and with it, a term structure for overnight averages has begun to emerge.
  • Options on 1-Month and 3-Month SOFR futures launched and have seen active quoting and 800+ contracts traded.
  • CME Cleared $127B in SOFR swaps, surpassing 2018+2019 volumes combined.
  • SOFR floating rate note (FRN) issuance surged to new highs in Q1 and remained strong in Q2.
  • With $650B notional to date from 50+ participants, the FRN market is expected to accelerate in H2 as several major deadlines are crossed.

Read: SOFR Ecosystem Mid-Year Recap


Recent research & analysis

The 20-Year: A Month in Review
A month after the initial 20-year bond auction, we look at trends that have formed in cash and futures markets.

Where Fed Has and Hasn't Contained Volatility
A look at implied volatility across asset classes including rates where T-Bond vol remains elevated relative to 2s, 5s, and 10s.

June Mid-Month Auctions: Coupon and Yield Trends
Examining auction trends a month after the May refunding set a new trajectory on government borrowing.

A Simple Treasury Futures Duration Adjustment
A case study on using Treasury futures to adjust portfolio duration and interest rate sensitivity.


BrokerTec introduces fee credit for 20Y Treasuries

From July through September, all clients that trade more than $1bln a month in 20-Year Treasuries on BrokerTec are eligible to receive a brokerage fee credit based on their executed 20-Year notional volume. 

For details, email MarketSupport@btec.com.


Data as of June 30, 2020, unless otherwise specified
*Pending regulatory approval