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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Asset Class Navigation

U.S. Treasury Bond Margins

Exchange Asset Class Spread Products Type Ratio Side Start Period End Period Credit
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 3 B All dates 70%
E1U - 20-YEAR USD MAC SWAP FUTURES 2 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 70%
LIL - 15-YEAR ERIS SWAP FUTURES 2 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 70%
LII - 12-YEAR ERIS SWAP FUTURES 2 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 2 B All dates 70%
LIY - 10-YEAR ERIS SWAP FUTURES 5 A 12/2019 03/2021
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 70%
F1U - 5-YEAR USD MAC SWAP FUTURES 3 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 3 A All dates 60%
LIB - 7-YEAR ERIS SWAP FUTURES 10 B 03/2019 03/2021
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 2 B All dates 60%
NG - 5-YR INTEREST RATE SWAP FUTURES 5 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 3 A All dates 60%
LIB - 7-YEAR ERIS SWAP FUTURES 10 B 12/2013 12/2018
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 4 A All dates 55%
I3 - 30Y INTEREST RATE SWAP FUTU 3 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 55%
CME ED - EURODOLLAR FUTURES 8 B 09/2029 06/2030
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 55%
CME ED - EURODOLLAR FUTURES 8 B 09/2026 06/2027
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 55%
CME ED - EURODOLLAR FUTURES 8 B 09/2028 06/2029
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 55%
CME ED - EURODOLLAR FUTURES 8 B 09/2027 06/2028
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 55%
CME ED - EURODOLLAR FUTURES 8 B 09/2025 06/2026
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 50%
LIW - 5-YEAR ERIS SWAP FUTURES 4 A 03/2021 03/2021
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 50%
LIW - 5-YEAR ERIS SWAP FUTURES 4 A 09/2020 12/2020
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 50%
LIW - 5-YEAR ERIS SWAP FUTURES 4 A 03/2020 06/2020
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 50%
LIW - 5-YEAR ERIS SWAP FUTURES 4 A 09/2019 12/2019
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 2 A All dates 50%
LIY - 10-YEAR ERIS SWAP FUTURES 5 B 12/2012 03/2013
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 50%
CME ED - EURODOLLAR FUTURES 8 B 09/2024 06/2025
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 50%
T1U - 2-YEAR USD MAC SWAP FUTURES 7 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 50%
CME ED - EURODOLLAR FUTURES 8 B 09/2023 06/2024
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 50%
CME SR3 - THREE-MONTH SOFR FUTURES 8 B 12/2020 03/2021
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 50%
CME SR3 - THREE-MONTH SOFR FUTURES 8 B 12/2020 03/2021
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 50%
CME SR3 - THREE-MONTH SOFR FUTURES 8 B 12/2020 03/2021
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 50%
CME SR3 - THREE-MONTH SOFR FUTURES 8 B 06/2021 03/2022
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 50%
CME SR3 - THREE-MONTH SOFR FUTURES 8 B 06/2022 03/2023
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 50%
CME SR3 - THREE-MONTH SOFR FUTURES 8 B 06/2021 03/2022
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 10 A All dates 45%
CME EQUITY INDEX SP - S&P 500 FUTURES 1 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 2 A All dates 45%
CME EQUITY INDEX TRF - BTIC ON S&P 500 TOTAL RETURN INDEX 1 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 45%
41 - 30 DAY FED FUND FUTURES 5 B 07/2021 06/2023
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 45%
CME SR1 - ONE-MONTH SOFR FUTURES 5 B 09/2020 09/2020
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 45%
CME SR1 - ONE-MONTH SOFR FUTURES 5 B 11/2020 07/2021
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 45%
CME SR1 - ONE-MONTH SOFR FUTURES 5 B 10/2020 10/2020
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 40%
CME ED - EURODOLLAR FUTURES 8 B 09/2022 06/2023
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 40%
CME ED - EURODOLLAR FUTURES 8 B 09/2021 06/2022
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 40%
CME ED - EURODOLLAR FUTURES 8 B 10/2020 06/2021
CME EQUITY INDEX NQ - E-MINI NASDAQ 100 FUTURES Delta 1 A All dates 35%
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES 1 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 3 B All dates 35%
S1U - 7-YEAR USD MAC SWAP FUTURES 2 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 35%
LIW - 5-YEAR ERIS SWAP FUTURES 4 A 03/2019 06/2019
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 35%
LIW - 5-YEAR ERIS SWAP FUTURES 4 A 09/2018 12/2018
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 35%
LIW - 5-YEAR ERIS SWAP FUTURES 4 A 03/2018 06/2018
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 35%
CME EM - ONE MONTH EURODOLLAR FUTURES 5 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 35%
26 - 2 YEAR TREASURY NOTE FUTURES 6 B All dates
CBT EQUITY INDEX YM - E-MINI DOW ($5) FUTURES Delta 1 A All dates 30%
INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES 1 A All dates
CME FX JY - JAPANESE YEN FUTURES Delta 1 A All dates 30%
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES 1 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 30%
CME ED - EURODOLLAR FUTURES 8 B 07/2020 09/2020
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 20%
CMX METALS CX-GC - COMEX 100 GOLD FUTURES 1 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Scan 5 All dates 68%
21 - 10Y TREASURY NOTE FUTURES 12 All dates
25 - 5 YR TREASURY NOTE FUTURES 18 All dates
TN - ULTRA 10-YEAR U S TREASURY NOTE FUT 8 All dates
UBE - LONG TERM U.S. TREASURY BOND FUTURE 3 All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 2 A All dates 80%
LIE - 30-YEAR ERIS SWAP FUTURES 3 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 80%
B1U - 30-YEAR USD MAC SWAP FUTURES 1 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 2 A All dates 80%
N1U - 10-YEAR USD MAC SWAP FUTURES 5 B All dates