2-Year T-Note Margins

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Exchange	Asset Class	Spread Products	Type	Ratio	Side	Start Period	End Period	Credit
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CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	A	All dates		80%
		LIC - 3-YEAR ERIS SWAP FUTURES		3	B	06/2020	06/2020
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	B	All dates		80%
CME		SR3 - THREE-MONTH SOFR FUTURES		3	A	09/2021	06/2022
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	B	All dates		80%
CME		SR3 - THREE-MONTH SOFR FUTURES		3	A	09/2022	06/2023
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	B	All dates		80%
CME		SR3 - THREE-MONTH SOFR FUTURES		3	A	09/2023	03/2029
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	A	All dates		80%
CME		ED - EURODOLLAR FUTURES		3	B	12/2021	09/2022
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	1	A	All dates		80%
		LIT - 2-YEAR ERIS SWAP FUTURE		2	B	06/2019	09/2019
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	10	B	All dates		75%
		LIW - 5-YEAR ERIS SWAP FUTURES		9	A	12/2019	03/2020
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	10	B	All dates		75%
		LIW - 5-YEAR ERIS SWAP FUTURES		9	A	06/2020	06/2020
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	A	All dates		75%
		LIC - 3-YEAR ERIS SWAP FUTURES		3	B	12/2019	03/2020
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	06/2019	09/2019
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	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	12/2018	03/2019
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	9	B	All dates		70%
		LID - 4-YEAR ERIS SWAP FUTURES		10	A	03/2019	06/2019
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	10	B	All dates		70%
		LIW - 5-YEAR ERIS SWAP FUTURES		9	A	06/2018	09/2018
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	9	B	All dates		70%
		LID - 4-YEAR ERIS SWAP FUTURES		10	A	09/2018	12/2018
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	10	B	All dates		70%
		LIW - 5-YEAR ERIS SWAP FUTURES		9	A	12/2017	03/2018
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	9	B	All dates		70%
		LID - 4-YEAR ERIS SWAP FUTURES		10	A	03/2018	06/2018
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	B	All dates		70%
		LIC - 3-YEAR ERIS SWAP FUTURES		3	A	06/2019	09/2019
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	10	B	All dates		70%
		LIW - 5-YEAR ERIS SWAP FUTURES		9	A	06/2017	09/2017
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	12/2022	09/2023
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	8	B	All dates		65%
		UBE - LONG TERM U.S. TREASURY BOND FUTURE		1	A	All dates
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	06/2020
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	B	All dates		65%
		N1U - 10-YEAR USD MAC SWAP FUTURES		1	A	All dates
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	3	B	All dates		65%
		TN - ULTRA 10-YEAR U S TREASURY NOTE FUT		1	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	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	1	A	All dates		65%
		41 - 30 DAY FED FUND FUTURES		1	B	12/2020	11/2022
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	1	A	All dates		65%
		41 - 30 DAY FED FUND FUTURES		1	B	07/2020	11/2020
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	1	A	All dates		65%
		41 - 30 DAY FED FUND FUTURES		1	B	07/2020	11/2020
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	1	B	All dates		65%
CME		SR1 - ONE-MONTH SOFR FUTURES		1	A	04/2020	12/2020
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	1	B	All dates		65%
CME		SR1 - ONE-MONTH SOFR FUTURES		1	A	04/2020	12/2020
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	1	B	All dates		65%
CME		SR1 - ONE-MONTH SOFR FUTURES		1	A	03/2020	03/2020
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	9	B	All dates		65%
		LID - 4-YEAR ERIS SWAP FUTURES		10	A	09/2017	12/2017
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	A	All dates		65%
CME		ED - EURODOLLAR FUTURES		3	B	12/2023	09/2024
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	B	All dates		65%
CME		SR3 - THREE-MONTH SOFR FUTURES		3	A	12/2019	12/2019
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	A	All dates		65%
CME		ED - EURODOLLAR FUTURES		3	B	12/2027	09/2028
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	A	All dates		65%
CME		ED - EURODOLLAR FUTURES		3	B	12/2026	09/2027
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	A	All dates		65%
CME		ED - EURODOLLAR FUTURES		3	B	12/2024	09/2025
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	A	All dates		65%
CME		ED - EURODOLLAR FUTURES		3	B	12/2028	09/2029
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	A	All dates		65%
CME		ED - EURODOLLAR FUTURES		3	B	12/2025	09/2026
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	17 - 30 YR U.S. TREASURY BOND FUTURES	Delta	1	A	All dates		60%
		26 - 2 YEAR TREASURY NOTE FUTURES		6	B	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	1	A	All dates		60%
		41 - 30 DAY FED FUND FUTURES		1	B	04/2020	06/2020
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	1	A	All dates		60%
		41 - 30 DAY FED FUND FUTURES		1	B	04/2020	06/2020
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	B	All dates		60%
		LIC - 3-YEAR ERIS SWAP FUTURES		3	A	12/2018	03/2019
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	10	B	All dates		60%
		LIW - 5-YEAR ERIS SWAP FUTURES		9	A	12/2016	03/2017
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	1	A	All dates		60%
		41 - 30 DAY FED FUND FUTURES		1	B	02/2020	03/2020
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	A	All dates		60%
CME		ED - EURODOLLAR FUTURES		3	B	12/2019	02/2020
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	1	B	All dates		55%
CME		SR1 - ONE-MONTH SOFR FUTURES		1	A	02/2020	02/2020
CME	EQUITY INDEX	SP - S&P 500 FUTURES	Delta	1	A	All dates		50%
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES		50	A	All dates
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	9	A	All dates		50%
	EQUITY INDEX	YM - E-MINI DOW ($5) FUTURES		1	A	All dates
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	9	A	All dates		50%
CMX	METALS	CX-GC - COMEX 100 GOLD FUTURES		1	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	1	B	All dates		50%
CME		SR1 - ONE-MONTH SOFR FUTURES		1	A	01/2020	01/2020
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	B	All dates		50%
		LIC - 3-YEAR ERIS SWAP FUTURES		3	A	06/2018	09/2018
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	10	A	All dates		50%
		LIW - 5-YEAR ERIS SWAP FUTURES		9	B	06/2016	09/2016
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	B	All dates		50%
CME		SR3 - THREE-MONTH SOFR FUTURES		3	A	09/2019	09/2019
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	B	All dates		50%
		LIC - 3-YEAR ERIS SWAP FUTURES		3	A	12/2017	03/2018
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	1	B	All dates		50%
		LIT - 2-YEAR ERIS SWAP FUTURE		2	A	12/2018	03/2019
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	1	B	All dates		90%
		LIT - 2-YEAR ERIS SWAP FUTURE		2	A	12/2019	06/2020
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	11	A	All dates		45%
CME	EQUITY INDEX	TRF - BTIC ON S&P 500 TOTAL RETURN INDEX		1	A	All dates
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	9	B	All dates		45%
		LID - 4-YEAR ERIS SWAP FUTURES		10	A	03/2017	06/2017
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	06/2020
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	2	B	All dates		85%
CME		SR3 - THREE-MONTH SOFR FUTURES		3	A	03/2020	06/2020
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	B	All dates		85%
CME		SR3 - THREE-MONTH SOFR FUTURES		3	A	09/2020	06/2021
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	B	All dates		85%
CME		SR3 - THREE-MONTH SOFR FUTURES		3	A	09/2020	06/2021
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	B	All dates		85%
CME		SR3 - THREE-MONTH SOFR FUTURES		3	A	03/2020	06/2020
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	A	All dates		85%
CME		ED - EURODOLLAR FUTURES		3	B	12/2020	09/2021
CBT	INTEREST RATES	26 - 2 YEAR TREASURY NOTE FUTURES	Delta	2	A	All dates		85%
CME		ED - EURODOLLAR FUTURES		3	B	03/2020	09/2020
CBT	INTEREST RATES	25 - 5 YR TREASURY NOTE FUTURES	Delta	5	A	All dates		83%
		26 - 2 YEAR TREASURY NOTE FUTURES		6	B	All dates

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2-Year Note Yield Curve Analytics

CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs).
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

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2-Year T-Note Margins

2-Year Note Yield Curve Analytics