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3-Year T-Note Home

Re-Introducing 3-Year Treasury Note futures

Re-engineered for today's Treasury market

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, we will launch an enhanced 3-Year Treasury Note futures contract on July 13, 2020 (pending regulatory review).

What’s changing

Reduced tick size to 1/8 of 1/32 for outrights and spreads (from 1/4 of 1/32).

  • Builds upon the success of the 2-Year Note futures (ZT) tick cut in January 2019 which improved cost-to-trade by up to 32% and attracted more end user participation.
  • Brings greater alignment between 2s and 3s for seamless spread trading.

New matching algorithm of 100% FIFO for outrights (from 40% FIFO/60% Pro-Rata). Calendar spreads will remain 20% FIFO/80% Pro-Rata.

A more robust deliverable basket through the addition of aging 7-year notes with remaining term to maturity that ranges from 2 years, 9 months to 3 years.

  • Will increase the size of the delivery basket from roughly 8 issues/$288B to 12 issues/$400B, bringing the 3-Year contract in line with 2-Year and 5-Year Note futures.

3-Year Note futures deliverable grade with original 7s – sample basket for Mar20 contract

Original Maturity Coupon Issue
Date
Maturity
Date
CUSIP Adjusted
Issuance
(Billions)
Mar 2020
3.0 1 5/8 12/16/19 12/15/22 912828YW4 $38.0 3 yr
5.0* 2 1/8 12/31/15 12/31/22 912828N30 $63.0 3 yr
3.0 1 1/2 01/15/20 01/15/23 912828Z29 $38.0 3 yr
7.0 1 3/4 02/01/16 01/31/23 912828P38 $29.0 7 yr
5.0 2 3/8 01/31/18 01/31/23 9128283U2 $34.0 3 yr
3.0 1 3/8 02/18/20 02/15/23 912828Z86 $38.0 3 yr
7.0 1 1/2 02/29/16 02/28/23 912828P79 $28.0 7 yr
5.0 2 5/8 02/28/18 02/28/23 9128284A5 $35.0 3 yr
3.0 0 1/2    03/16/20 03/15/23 912828ZD5 $38.0 3 yr
7.0 1 1/2 03/31/16 03/31/23 912828Q29 $28.0 7 yr
5.0 2 1/2 04/02/18 03/31/23 9128284D9 $35.0 3 yr

* 7-year reissued as 5-year in 2018, currently eligible

3-Year Note futures deliverable basket summary - current and future

  Total (Billions) CUSIPs
Current $319 8
+Original 7s $113 4
New 3-Year Note total $432 12
2-Year Note future $408 11
5-Year Note future $438 10

Why now

Much has changed since 3-Year Note futures were originally launched in 2009:

  • Treasury futures account for a much larger share of the daily risk transfer in Treasury markets having seen exponential growth in the institutional user base, trading volumes and open interest.
  • Investors have demonstrated a strong appetite for additional tenor points on the UST futures curve as evidenced by the success of the Ultra T-Bond (Launched 2010) and Ultra 10-Year Note futures (launched 2016).
  • Spread trading between Treasury futures has become more efficient with the rise of CME Globex-listed Inter-Commodity Spreads (ICS).
Treasury futures profile Today (2019) Then (2009) % Change
Average daily volume (contracts) 4.4M 1.6M +181%
Average daily open interest (contracts) 14.7M 3.5M +320%
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  

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