In response to client demand for an additional tenor point on the short-end of the curve, and to better serve the evolving needs of today’s treasury environment, CME Group introduced an enhanced 3-Year Treasury Note futures contract on July 13, 2020.
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Face value at maturity of $200,000
MINIMUM PRICE FLUCTUATION
One-eighth (1/8) of one thirty-second (1/32) of a point (1/256.) = $7.8125 ($2000 x 0.00390625)
CME Globex: Z3N
CME ClearPort: 3YR
Sunday - Friday: 5:00 p.m. - 4:00 p.m. CT
As the leading source of liquidity on the Secured Overnight Financing Rate (SOFR), CME SOFR futures are increasingly relied upon for managing exposure to short-term funding markets. SOFR futures trade alongside Eurodollars and Fed Funds to offer seamless spread trading and margin offsets of up to 70%.
- Reduced tick size to 1/8 of 1/32 for outrights and spreads (from 1/4 of 1/32), offering efficient cost-to-trade and greater alignment between 2s and 3s for seamless spread trading.
- New matching algorithm of 100% FIFO for outrights (from 40% FIFO/60% Pro-Rata). Calendar spreads will remain 20% FIFO/80% Pro-Rata.
- A more robust deliverable basket through the addition of aging 7-year notes with remaining term to maturity that ranges from 2 years, 9 months to 3 years. This increases the size of the delivery basket from roughly 8 issues/$288B to 12 issues/$400B, and brings the 3-Year basket in line with 2-Year and 5-Year Note futures.
- Renewed focus on liquidity, in collaboration with top Treasury futures market makers
3-Year Note futures deliverable grade with original 7s – sample basket for Jun20 contract
|7.0||1 1/2||03/31/16||03/31/23||912828Q29||$28||7 yr|
|5.0||2 1/2||04/02/18||03/31/23||9128284D9||$35||3 yr|
|7.0||1 5/8||05/02/16||04/30/23||912828R28||$28||7 yr|
|5.0||2 3/4||04/30/18||04/30/23||9128284L1||$35||3 yr|
|7.0||1 5/8||05/31/16||05/31/23||912828R69||$28||7 yr|
|5.0||2 3/4||05/31/18||05/31/23||9128284S6||$36||3 yr|
|7.0||1 3/8||06/30/16||06/30/23||912828S35||$28||7 yr|
|5.0||2 5/8||07/02/18||06/30/23||9128284U1||$36||3 yr|
* Based on Treasury guidance
Deliverable basket summary for Jun20 contract - current and future
|New 3-Year Note total||$418||12|
|2-Year Note future||$408||11|
|5-Year Note future||$438||10|
Much has changed since 3-Year Note futures were originally launched in 2009:
- Treasury futures account for a much larger share of the daily risk transfer in Treasury markets having seen exponential growth in the institutional user base, trading volumes and open interest.
- Investors have demonstrated a strong appetite for additional tenor points on the UST futures curve as evidenced by the success of the Ultra T-Bond (Launched 2010) and Ultra 10-Year Note futures (launched 2016).
- Spread trading between Treasury futures has become more efficient with the rise of CME Globex-listed Inter-Commodity Spreads (ICS).
Record 3-year issuance is driving a greater need for risk management:
- The 3-year note has seen back-to-back record auctions with $44B and $46B in June and July respectively.
- 3-year auctions are expected to increase by $2B/month through year-end.
- When paired with the addition of aging 7-year notes, the 3-Year’s deliverable basket could increase to $500B for the Mar2021 contract.
|TREASURY FUTURES PROFILE||TODAY (2019)||THEN (2009)||% CHANGE|
|Average daily volume (contracts)||4.4M||1.6M||+181%|
|Average daily open interest (contracts)||14.8M||3.5M||+326%|
|Avg # of large open interest holders||1,511||672||+125%|
|Number of Liquid UST futures contracts||6||4||+50%|
|Yield curve spreading via Inter-Commodity Spreads||23K spreads/day (129K legs/day)||0|
|OUTRIGHTS||2Y V. 3Y||3Y V. 5Y||3Y V. 10Y||3Y V. ULTRA 10Y||3Y V. T-BOND||3Y V. ULTRA BOND|
|CME ClearPort / Clearing||3YR|
|ION (Pats, FFastFill)||Z3N||TYT||TOF||TUN||TYX||TOB||TOU|
|Itiviti (Orc, Tbricks)||Z3N||TYT||TOF||TUN||TYX||TOB||TOU|
|Refinitiv Globex RIC Root||1Y||1TYT-1TYT||1TOF-1TOF||1TUN-1TUN||1TYX-1TYX||1TOB-1TOB||1TOU-1TOU|
|Refinitiv Composite RIC Root||YR|
Block Market Makers
|FIRM NAME||CONTACT(S)||PHONE NUMBER||HOURS|
|Credit Suisse||Tom Morreale||+1 212 325 3337||RTH|
|Avery Geehr||+1 212 325 3337||RTH|
|Deutsche Bank||John Carpinello||+1 212 250 2860||RTH|
|Ambrish Shah||+1 212 250 2860||RTH|
|DRW||Joe Meissner||+1 312 542 1090||RTH|
|Goldman Sachs||Jerry Strabley||+1 212 902 5010||RTH|
|James Groth||James Groth||+1 773 307 2566||All Hours|
|JP Morgan Securities LLC||Peter Isola||+1 212 834 4652||RTH|
|Morgan Stanley||Joe Anderson||+1 212 761 3464||RTH|
|Nomura||Jin Hayashida||+1 813 6703 9407||ATH, ETH|
Synthetic Price History
Based on settlements for the Cheapest to Deliver cash Treasury note, with repo financing, this theoretical price series can serve to level set a new trading point on the futures curve.
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