Industry readiness for enhanced 3-Year Note futures is ramping up ahead of the July 13* go live date.
|Outrights||2Y v. 3Y||3Y v. 5Y||3Y v. 10Y||3Y v. Ultra 10Y|
|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|
With 3-year exposure expected to rise considerably in the quarters ahead, enhanced 3-Year Note futures have been met with strong client interest.
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.
Please see the SER below for more details.
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
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.
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