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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2-Year T-Note Margins

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 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 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 03/2020 03/2021
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 09/2018 12/2018
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 2 B All dates 70%
LIC - 3-YEAR ERIS SWAP FUTURES 3 A 03/2020 06/2020
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 10 A 03/2019 06/2019 70%
26 - 2 YEAR TREASURY NOTE FUTURES 9 B All dates
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 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 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 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 06/2022 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 06/2023 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 09/2020 10/2020
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 B All dates 65%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 11/2020 07/2021
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 07/2021
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%
LIE - 30-YEAR ERIS SWAP FUTURES 1 B All dates
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 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 06/2017 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 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 A All dates 60%
CME ED - EURODOLLAR FUTURES 3 B 09/2024 06/2025
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 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 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 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 09/2027 06/2028
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 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 07/2020 09/2020
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 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 03/2019 06/2019
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
CME EQUITY INDEX TRF - BTIC ON S&P 500 TOTAL RETURN INDEX Delta 1 A All dates 35%
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES 11 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
CME FX JY - JAPANESE YEN FUTURES Delta 2 A All dates 30%
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES 1 B 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 06/2023
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 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 A All dates 75%
CME ED - EURODOLLAR FUTURES 3 B 10/2020 06/2021
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 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 06/2021 03/2022
CME INTEREST RATES SR3 - THREE-MONTH SOFR FUTURES Delta 3 A 06/2021 03/2022 75%
CBT 26 - 2 YEAR TREASURY NOTE FUTURES 2 B All dates

2-Year Note Yield Curve Analytics

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