**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

Exchange | Asset Class | Spread Products | Type | Ratio | Side | Start Period | End Period | Credit |
---|---|---|---|---|---|---|---|---|

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 10 | B | All dates | 70% | |

LIW - 5-YEAR ERIS SWAP FUTURES | 9 | A | 03/2021 | 03/2021 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 6 | B | All dates | 70% | |

F1U - 5-YEAR USD MAC SWAP FUTURES | 5 | A | All dates | |||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 10 | B | All dates | 70% | |

LIW - 5-YEAR ERIS SWAP FUTURES | 9 | A | 09/2020 | 12/2020 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 10 | B | All dates | 70% | |

LIW - 5-YEAR ERIS SWAP FUTURES | 9 | A | 03/2020 | 06/2020 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 9 | B | All dates | 70% | |

LID - 4-YEAR ERIS SWAP FUTURES | 10 | A | 03/2020 | 03/2021 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 10 | B | All dates | 70% | |

LIW - 5-YEAR ERIS SWAP FUTURES | 9 | A | 09/2019 | 12/2019 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | A | All dates | 70% | |

LIC - 3-YEAR ERIS SWAP FUTURES | 3 | B | 09/2020 | 12/2020 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 10 | B | All dates | 70% | |

LIW - 5-YEAR ERIS SWAP FUTURES | 9 | A | 03/2019 | 06/2019 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 9 | B | All dates | 70% | |

LID - 4-YEAR ERIS SWAP FUTURES | 10 | A | 09/2019 | 12/2019 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 1 | A | All dates | 70% | |

41 - 30 DAY FED FUND FUTURES | 1 | B | 02/2021 | 06/2021 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 1 | A | All dates | 70% | |

41 - 30 DAY FED FUND FUTURES | 1 | B | 02/2021 | 06/2021 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 10 | B | All dates | 70% | |

LIW - 5-YEAR ERIS SWAP FUTURES | 9 | A | 09/2018 | 12/2018 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 70% | |

LIC - 3-YEAR ERIS SWAP FUTURES | 3 | A | 03/2020 | 06/2020 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 1 | B | All dates | 70% | |

T1U - 2-YEAR USD MAC SWAP FUTURES | 2 | A | All dates | |||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 9 | B | All dates | 70% | |

LID - 4-YEAR ERIS SWAP FUTURES | 10 | A | 03/2019 | 06/2019 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 9 | B | All dates | 70% | |

LID - 4-YEAR ERIS SWAP FUTURES | 10 | A | 09/2018 | 12/2018 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | A | All dates | 70% | |

CME | ED - EURODOLLAR FUTURES | 3 | B | 09/2022 | 06/2023 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 70% | |

CME | SR3 - THREE-MONTH SOFR FUTURES | 3 | A | 06/2022 | 03/2023 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 70% | |

CME | SR3 - THREE-MONTH SOFR FUTURES | 3 | A | 06/2024 | 12/2029 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 70% | |

CME | SR3 - THREE-MONTH SOFR FUTURES | 3 | A | 06/2023 | 03/2024 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 1 | A | All dates | 70% | |

LIT - 2-YEAR ERIS SWAP FUTURE | 2 | B | 03/2020 | 06/2020 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | A | All dates | 65% | |

LIY - 10-YEAR ERIS SWAP FUTURES | 1 | B | 12/2019 | 03/2021 | ||||

CBT | INTEREST RATES | 25 - 5 YR TREASURY NOTE FUTURES | Delta | 5 | A | All dates | 65% | |

26 - 2 YEAR TREASURY NOTE FUTURES | 6 | B | All dates | |||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 1 | A | All dates | 65% | |

41 - 30 DAY FED FUND FUTURES | 1 | B | 11/2020 | 01/2021 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 1 | A | All dates | 65% | |

41 - 30 DAY FED FUND FUTURES | 1 | B | 11/2020 | 01/2021 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 1 | A | All dates | 65% | |

41 - 30 DAY FED FUND FUTURES | 1 | B | 09/2020 | 10/2020 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 1 | B | All dates | 65% | |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 11/2020 | 08/2021 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 1 | B | All dates | 65% | |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 11/2020 | 08/2021 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 1 | B | All dates | 65% | |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 10/2020 | 10/2020 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | A | All dates | 65% | |

CME | ED - EURODOLLAR FUTURES | 3 | B | 09/2023 | 06/2024 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 65% | |

CME | SR3 - THREE-MONTH SOFR FUTURES | 3 | A | 09/2020 | 09/2020 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 3 | A | All dates | 60% | |

B1U - 30-YEAR USD MAC SWAP FUTURES | 1 | B | All dates | |||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 3 | A | All dates | 60% | |

LIE - 30-YEAR ERIS SWAP FUTURES | 1 | B | All dates | |||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 9 | A | All dates | 60% | |

I3 - 30Y INTEREST RATE SWAP FUTU | 2 | B | All dates | |||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 60% | |

N1U - 10-YEAR USD MAC SWAP FUTURES | 1 | A | All dates | |||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 60% | |

LIY - 10-YEAR ERIS SWAP FUTURES | 1 | A | 06/2019 | 09/2019 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 60% | |

LIY - 10-YEAR ERIS SWAP FUTURES | 1 | A | 12/2018 | 03/2019 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 60% | |

LIY - 10-YEAR ERIS SWAP FUTURES | 1 | A | 06/2018 | 09/2018 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 60% | |

LIY - 10-YEAR ERIS SWAP FUTURES | 1 | A | 12/2017 | 03/2018 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 60% | |

LIY - 10-YEAR ERIS SWAP FUTURES | 1 | A | 06/2017 | 09/2017 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 60% | |

LIY - 10-YEAR ERIS SWAP FUTURES | 1 | A | 12/2016 | 03/2017 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 60% | |

LIY - 10-YEAR ERIS SWAP FUTURES | 1 | A | 06/2016 | 09/2016 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 60% | |

LIY - 10-YEAR ERIS SWAP FUTURES | 1 | A | 12/2015 | 03/2016 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 60% | |

LIY - 10-YEAR ERIS SWAP FUTURES | 1 | A | 06/2015 | 09/2015 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 60% | |

LIY - 10-YEAR ERIS SWAP FUTURES | 1 | A | 12/2014 | 03/2015 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | A | All dates | 60% | |

LIY - 10-YEAR ERIS SWAP FUTURES | 1 | B | 06/2014 | 09/2014 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | A | All dates | 60% | |

CME | ED - EURODOLLAR FUTURES | 3 | B | 09/2024 | 06/2025 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 10 | B | All dates | 60% | |

LIW - 5-YEAR ERIS SWAP FUTURES | 9 | A | 03/2018 | 06/2018 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 60% | |

LIC - 3-YEAR ERIS SWAP FUTURES | 3 | A | 09/2019 | 12/2019 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | A | All dates | 55% | |

CME | ED - EURODOLLAR FUTURES | 3 | B | 09/2025 | 06/2026 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 1 | B | All dates | 55% | |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 09/2020 | 09/2020 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 9 | B | All dates | 55% | |

LID - 4-YEAR ERIS SWAP FUTURES | 10 | A | 03/2018 | 06/2018 | ||||

CBT | INTEREST RATES | 21 - 10Y TREASURY NOTE FUTURES | Delta | 1 | A | All dates | 50% | |

26 - 2 YEAR TREASURY NOTE FUTURES | 2 | B | All dates | |||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 1 | B | All dates | 50% | |

S1U - 7-YEAR USD MAC SWAP FUTURES | 1 | A | All dates | |||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | A | All dates | 50% | |

CME | ED - EURODOLLAR FUTURES | 3 | B | 09/2026 | 06/2027 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | A | All dates | 50% | |

CME | ED - EURODOLLAR FUTURES | 3 | B | 09/2028 | 06/2029 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | A | All dates | 50% | |

CME | ED - EURODOLLAR FUTURES | 3 | B | 09/2027 | 06/2028 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 10 | B | All dates | 50% | |

LIW - 5-YEAR ERIS SWAP FUTURES | 9 | A | 09/2017 | 12/2017 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | A | All dates | 50% | |

CME | ED - EURODOLLAR FUTURES | 3 | B | 08/2020 | 10/2020 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 50% | |

CME | SR3 - THREE-MONTH SOFR FUTURES | 3 | A | 06/2020 | 06/2020 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 1 | B | All dates | 50% | |

LIT - 2-YEAR ERIS SWAP FUTURE | 2 | A | 09/2019 | 12/2019 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 3 | B | All dates | 45% | |

TN - ULTRA 10-YEAR U S TREASURY NOTE FUT | 1 | A | All dates | |||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | A | All dates | 45% | |

CME | ED - EURODOLLAR FUTURES | 3 | B | 09/2029 | 06/2030 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 9 | B | All dates | 45% | |

LID - 4-YEAR ERIS SWAP FUTURES | 10 | A | 09/2017 | 12/2017 | ||||

CBT | EQUITY INDEX | YM - E-MINI DOW ($5) FUTURES | Delta | 1 | A | All dates | 40% | |

INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | 9 | A | All dates | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 1 | B | All dates | 40% | |

CME | SR1 - ONE-MONTH SOFR FUTURES | 1 | A | 08/2020 | 08/2020 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 40% | |

LIC - 3-YEAR ERIS SWAP FUTURES | 3 | A | 03/2019 | 06/2019 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 10 | A | All dates | 40% | |

LIW - 5-YEAR ERIS SWAP FUTURES | 9 | B | 03/2017 | 06/2017 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 40% | |

LIC - 3-YEAR ERIS SWAP FUTURES | 3 | A | 09/2018 | 12/2018 | ||||

CME | EQUITY INDEX | SP - S&P 500 FUTURES | Delta | 1 | A | All dates | 35% | |

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | 50 | A | All dates | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 11 | A | All dates | 35% | |

CME | EQUITY INDEX | TRF - BTIC ON S&P 500 TOTAL RETURN INDEX | 1 | A | All dates | |||

CBT | INTEREST RATES | 17 - 30 YR U.S. TREASURY BOND FUTURES | Delta | 1 | A | All dates | 35% | |

26 - 2 YEAR TREASURY NOTE FUTURES | 6 | B | All dates | |||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 10 | A | All dates | 35% | |

LIB - 7-YEAR ERIS SWAP FUTURES | 7 | B | 03/2019 | 03/2021 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 10 | A | All dates | 35% | |

LIB - 7-YEAR ERIS SWAP FUTURES | 7 | B | 12/2013 | 12/2018 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 1 | B | All dates | 30% | |

CME | FX | JY - JAPANESE YEN FUTURES | 2 | A | All dates | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 3 | A | All dates | 30% | |

CME | EM - ONE MONTH EURODOLLAR FUTURES | 2 | B | All dates | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 8 | B | All dates | 25% | |

UBE - LONG TERM U.S. TREASURY BOND FUTURE | 1 | A | All dates | |||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Scan | 2 | All dates | 70% | ||

3YR - 3 YEAR TREASURY NOTE FUTURE | 2 | All dates | ||||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | A | All dates | 80% | |

LIC - 3-YEAR ERIS SWAP FUTURES | 3 | B | 03/2021 | 03/2021 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 1 | A | All dates | 75% | |

41 - 30 DAY FED FUND FUTURES | 1 | B | 07/2021 | 07/2023 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 1 | B | All dates | 75% | |

LIT - 2-YEAR ERIS SWAP FUTURE | 2 | A | 09/2020 | 03/2021 | ||||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 75% | |

CME | SR3 - THREE-MONTH SOFR FUTURES | 3 | A | 06/2021 | 03/2022 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 75% | |

CME | SR3 - THREE-MONTH SOFR FUTURES | 3 | A | 06/2021 | 03/2022 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | A | All dates | 75% | |

CME | ED - EURODOLLAR FUTURES | 3 | B | 09/2021 | 06/2022 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 75% | |

CME | SR3 - THREE-MONTH SOFR FUTURES | 3 | A | 12/2020 | 03/2021 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | B | All dates | 75% | |

CME | SR3 - THREE-MONTH SOFR FUTURES | 3 | A | 12/2020 | 03/2021 | |||

CBT | INTEREST RATES | 26 - 2 YEAR TREASURY NOTE FUTURES | Delta | 2 | A | All dates | 75% | |

CME | ED - EURODOLLAR FUTURES | 3 | B | 11/2020 | 06/2021 |