Enhancements to 3-Year Treasury Note futures

Effective July 13, 2020

  • Reduced tick size: 1/8 of 1/32 for outrights and spreads
  • New matching algorithm: 100% FIFO for outrights; 20% FIFO/80% pro-rata for calendar spreads
  • Aging 7-year notes added: with 2-years, 9 months–3 years remaining term-to-maturity

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10-Year T-Note Margins

Exchange Asset Class Spread Products Type Ratio Side Start Period End Period Credit
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 3 A All dates 70%
LIE - 30-YEAR ERIS SWAP FUTURES 2 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 5 B All dates 70%
B1U - 30-YEAR USD MAC SWAP FUTURES 3 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 3 A All dates 70%
LIO - 20-YEAR ERIS SWAP FUTURES 2 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 70%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 12/2016 03/2017
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 70%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 06/2016 09/2016
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 70%
NG - 5-YR INTEREST RATE SWAP FUTURES 1 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 4 B All dates 70%
LIW - 5-YEAR ERIS SWAP FUTURES 7 A 12/2019 03/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 4 B All dates 70%
LIW - 5-YEAR ERIS SWAP FUTURES 7 A 06/2019 09/2019
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 2 A 12/2019 12/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 B All dates 70%
LIC - 3-YEAR ERIS SWAP FUTURES 5 A 12/2020 12/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 2 A 06/2019 09/2019
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 06/2027 03/2028
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 06/2028 03/2029
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 06/2029 03/2030
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 06/2026 03/2027
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 06/2025 03/2026
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ED - EURODOLLAR FUTURES 5 B 06/2024 03/2025
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 90%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 12/2019 12/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 5 B All dates 65%
E1U - 20-YEAR USD MAC SWAP FUTURES 4 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 65%
26 - 2 YEAR TREASURY NOTE FUTURES 2 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 5 A All dates 60%
I3 - 30Y INTEREST RATE SWAP FUTU 2 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 60%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 12/2015 03/2016
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 4 B All dates 60%
S1U - 7-YEAR USD MAC SWAP FUTURES 5 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 60%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 06/2015 09/2015
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 60%
7I - 7-YR INTEREST RATE SWAP FUT 1 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 B All dates 60%
LIC - 3-YEAR ERIS SWAP FUTURES 5 A 06/2020 09/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 60%
LID - 4-YEAR ERIS SWAP FUTURES 2 A 12/2018 03/2019
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 60%
T1U - 2-YEAR USD MAC SWAP FUTURES 4 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 60%
CME ED - EURODOLLAR FUTURES 5 B 06/2023 03/2024
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 60%
CME ED - EURODOLLAR FUTURES 5 B 06/2022 03/2023
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 5 A All dates 60%
LIB - 7-YEAR ERIS SWAP FUTURES 7 B 12/2013 12/2018
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 55%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 12/2014 03/2015
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 4 B All dates 55%
LIW - 5-YEAR ERIS SWAP FUTURES 7 A 12/2018 03/2019
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 55%
LIT - 2-YEAR ERIS SWAP FUTURE 4 A 06/2020 12/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 3 B All dates 55%
CME SR3 - THREE-MONTH SOFR FUTURES 1 A 03/2023 12/2023
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 55%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 03/2021 12/2021
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 3 B All dates 55%
CME SR3 - THREE-MONTH SOFR FUTURES 1 A 03/2021 12/2021
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 3 B All dates 55%
CME SR3 - THREE-MONTH SOFR FUTURES 1 A 03/2022 12/2022
CBT EQUITY INDEX YM - E-MINI DOW ($5) FUTURES Delta 1 A All dates 50%
INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 3 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 50%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 06/2014 09/2014
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 4 B All dates 50%
LIW - 5-YEAR ERIS SWAP FUTURES 7 A 06/2018 09/2018
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 B All dates 50%
LIC - 3-YEAR ERIS SWAP FUTURES 5 A 12/2019 03/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 50%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 09/2020 12/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 50%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 09/2020 12/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 B All dates 50%
LIC - 3-YEAR ERIS SWAP FUTURES 5 A 06/2019 09/2019
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 50%
CME ED - EURODOLLAR FUTURES 5 B 06/2021 03/2022
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 50%
CME ED - EURODOLLAR FUTURES 5 B 09/2020 03/2021
CME EQUITY INDEX SP - S&P 500 FUTURES Delta 1 A All dates 45%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 25 A All dates
CME EQUITY INDEX NQ - E-MINI NASDAQ 100 FUTURES Delta 1 A All dates 45%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 3 A All dates
CME EQUITY INDEX TRF - BTIC ON S&P 500 TOTAL RETURN INDEX Delta 1 A All dates 45%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 5 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 45%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 12/2013 03/2014
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 45%
41 - 30 DAY FED FUND FUTURES 2 B 06/2021 05/2023
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 45%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 08/2020 08/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 45%
41 - 30 DAY FED FUND FUTURES 2 B 01/2021 05/2021
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 45%
41 - 30 DAY FED FUND FUTURES 2 B 01/2021 05/2021
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 45%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 10/2020 06/2021
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 45%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 09/2020 09/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 85%
N1U - 10-YEAR USD MAC SWAP FUTURES 1 A All dates
CME FX JY - JAPANESE YEN FUTURES Delta 1 A All dates 40%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 1 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 4 B All dates 40%
LIW - 5-YEAR ERIS SWAP FUTURES 7 A 12/2017 03/2018
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 40%
LID - 4-YEAR ERIS SWAP FUTURES 2 A 06/2018 09/2018
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 40%
CME ED - EURODOLLAR FUTURES 5 B 06/2020 08/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 40%
LIT - 2-YEAR ERIS SWAP FUTURE 4 B 12/2019 03/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 30%
CME EM - ONE MONTH EURODOLLAR FUTURES 5 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 4 B All dates 30%
LIW - 5-YEAR ERIS SWAP FUTURES 7 A 06/2017 09/2017
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 30%
LID - 4-YEAR ERIS SWAP FUTURES 2 A 12/2017 03/2018
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 B All dates 30%
LIC - 3-YEAR ERIS SWAP FUTURES 5 A 12/2018 03/2019
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 3 A All dates 25%
CMX METALS CX-GC - COMEX 100 GOLD FUTURES 1 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 25%
41 - 30 DAY FED FUND FUTURES 2 B 10/2020 12/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 25%
41 - 30 DAY FED FUND FUTURES 2 B 10/2020 12/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 25%
41 - 30 DAY FED FUND FUTURES 2 B 08/2020 09/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 25%
LIT - 2-YEAR ERIS SWAP FUTURE 4 A 06/2019 09/2019
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Scan 5 All dates 68%
21 - 10Y TREASURY NOTE FUTURES 12 All dates
25 - 5 YR TREASURY NOTE FUTURES 18 All dates
TN - ULTRA 10-YEAR U S TREASURY NOTE FUT 8 All dates
UBE - LONG TERM U.S. TREASURY BOND FUTURE 3 All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 80%
LII - 12-YEAR ERIS SWAP FUTURES 1 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 80%
LII - 12-YEAR ERIS SWAP FUTURES 1 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 06/2019 09/2019
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 12/2018 03/2019
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 06/2018 09/2018
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 12/2017 03/2018
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 06/2017 09/2017
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 5 A All dates 80%
LIB - 7-YEAR ERIS SWAP FUTURES 7 B 03/2019 12/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 B All dates 80%
F1U - 5-YEAR USD MAC SWAP FUTURES 3 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 75%
66 - 10Y INTEREST RATE SWAP FUTURES 1 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 4 B All dates 75%
LIW - 5-YEAR ERIS SWAP FUTURES 7 A 06/2020 09/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 4 B All dates 75%
LIW - 5-YEAR ERIS SWAP FUTURES 7 A 12/2020 12/2020