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

Start Period End Period
CBT INTEREST RATES 2 YEAR TREASURY NOTE FUTURES 26 12/2020 03/2021 485 USD 40.000%
CBT INTEREST RATES 2 YEAR TREASURY NOTE FUTURES 26 06/2020 09/2020 400 USD 40.000%

2-Year Note Yield Curve Analytics