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

Ratio Side Start Period End Period Maintenance
CBT INTEREST RATES 2-YEAR T-NOTE 26 1

2

1
A

B

A
06/2020

09/2020

12/2020
06/2020

09/2020

12/2020
270 USD
CBT INTEREST RATES 2-YEAR T-NOTE 26 1

1
B

A
06/2020

06/2020
12/2020

12/2020
230 USD

2-Year Note Yield Curve Analytics