In response to client demand for an additional tenor point on the short-end of the curve, and to better serve the evolving needs of today’s treasury environment, CME Group introduced an enhanced 3-Year Treasury Note futures contract on July 13, 2020.
Face value at maturity of $200,000
One-eighth (1/8) of one thirty-second (1/32) of a point (1/256.) = $7.8125 ($2000 x 0.00390625)
CME Globex: Z3N
CME ClearPort: 3YR
Clearing: 3YR
Sunday - Friday: 5:00 p.m. - 4:00 p.m. CT
As the leading source of liquidity on the Secured Overnight Financing Rate (SOFR), CME SOFR futures are increasingly relied upon for managing exposure to short-term funding markets. SOFR futures trade alongside Eurodollars and Fed Funds to offer seamless spread trading and margin offsets of up to 70%.
ORIGINAL MATURITY | COUPON | ISSUE DATE |
MATURITY DATE |
CUSIP | ADJUSTED ISSUANCE (BILLIONS) |
JUN. 2020 |
---|---|---|---|---|---|---|
3.0 | 1/2 | 03/16/20 | 03/15/23 | 912828ZD5 | $38 | 3 yr |
7.0 | 1 1/2 | 03/31/16 | 03/31/23 | 912828Q29 | $28 | 7 yr |
5.0 | 2 1/2 | 04/02/18 | 03/31/23 | 9128284D9 | $35 | 3 yr |
3.0 | 1/4 | 04/15/20 | 04/15/23 | 912828ZH6 | $40 | 3 yr |
7.0 | 1 5/8 | 05/02/16 | 04/30/23 | 912828R28 | $28 | 7 yr |
5.0 | 2 3/4 | 04/30/18 | 04/30/23 | 9128284L1 | $35 | 3 yr |
3.0 | 1/8 | 05/15/20 | 05/15/23 | 912828ZP8 | $42 | 3 yr |
7.0 | 1 5/8 | 05/31/16 | 05/31/23 | 912828R69 | $28 | 7 yr |
5.0 | 2 3/4 | 05/31/18 | 05/31/23 | 9128284S6 | $36 | 3 yr |
3.0 | 1/8* | 06/15/20 | 06/15/23 | 912828ZU7 | $44 | 3 yr |
7.0 | 1 3/8 | 06/30/16 | 06/30/23 | 912828S35 | $28 | 7 yr |
5.0 | 2 5/8 | 07/02/18 | 06/30/23 | 9128284U1 | $36 | 3 yr |
* Based on Treasury guidance
TOTAL (BILLIONS) | CUSIPS | |
---|---|---|
Current | $306 | 8 |
+Original 7s | $112 | 4 |
New 3-Year Note total | $418 | 12 |
2-Year Note future | $408 | 11 |
5-Year Note future | $438 | 10 |
Much has changed since 3-Year Note futures were originally launched in 2009:
Record 3-year issuance is driving a greater need for risk management:
TREASURY FUTURES PROFILE | TODAY (2019) | THEN (2009) | % CHANGE |
---|---|---|---|
Average daily volume (contracts) | 4.4M | 1.6M | +181% |
Average daily open interest (contracts) | 14.8M | 3.5M | +326% |
Avg # of large open interest holders | 1,511 | 672 | +125% |
Number of Liquid UST futures contracts | 6 | 4 | +50% |
Yield curve spreading via Inter-Commodity Spreads | 23K spreads/day (129K legs/day) | 0 |
OUTRIGHTS | 2Y V. 3Y | 3Y V. 5Y | 3Y V. 10Y | 3Y V. ULTRA 10Y | 3Y V. T-BOND | 3Y V. ULTRA BOND | |
---|---|---|---|---|---|---|---|
CME Globex | Z3N | TYT | TOF | TUN | TYX | TOB | TOU |
CME ClearPort / Clearing | 3YR | ||||||
Bloomberg | 3Y | ||||||
CQG | Z3N | TYT | TOF | TUN | GTYX | TOB | TOU |
DTN | @3N | @TYT | @TOF | @TUN | @TYX | @TOB | @TOU |
Fidessa | Z3N | TYT | TOF | TUN | TYX | TOB | TOU |
FIS Global | Z3N | TYT | TOF | TUN | TYX | TOB | TOU |
ION (Pats, FFastFill) | Z3N | TYT | TOF | TUN | TYX | TOB | TOU |
Itiviti (Orc, Tbricks) | Z3N | TYT | TOF | TUN | TYX | TOB | TOU |
Refinitiv Globex RIC Root | 1Y | 1TYT-1TYT | 1TOF-1TOF | 1TUN-1TUN | 1TYX-1TYX | 1TOB-1TOB | 1TOU-1TOU |
Refinitiv Composite RIC Root | YR | ||||||
TT | Z3N | ZT|Z3N | Z3N|ZF | Z3N|ZN | Z3N|TN | Z3N|ZB | Z3N|UB |
Vela | Z3N | TYT | TOF | TUN | TYX | TOB | TOU |
FIRM NAME | CONTACT(S) | PHONE NUMBER | HOURS |
---|---|---|---|
Credit Suisse | Tom Morreale | +1 212 325 3337 | RTH |
Avery Geehr | +1 212 325 3337 | RTH | |
Deutsche Bank | John Carpinello | +1 212 250 2860 | RTH |
Ambrish Shah | +1 212 250 2860 | RTH | |
DRW | Joe Meissner | +1 312 542 1090 | RTH |
Goldman Sachs | Jerry Strabley | +1 212 902 5010 | RTH |
James Groth | James Groth | +1 773 307 2566 | All Hours |
JP Morgan Securities LLC | Peter Isola | +1 212 834 4652 | RTH |
Morgan Stanley | Joe Anderson | +1 212 761 3464 | RTH |
Nomura | John Gorman | Office: +44 20 710 30174 | ETH |
Mobile: +44 7444 250448 |
Based on settlements for the Cheapest to Deliver cash Treasury note, with repo financing, this theoretical price series can serve to level set a new trading point on the futures curve.
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