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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U.S. Treasury Bond Margins

Ratio Side Start Period End Period Maintenance
CBT INTEREST RATES U.S. TREASURY BOND 17 1

2

1
A

B

A
09/2020

12/2020

03/2021
09/2020

12/2020

03/2021
1,300 USD
CBT INTEREST RATES U.S. TREASURY BOND 17 1

1
A

B
06/2020

12/2020
09/2020

12/2020
900 USD
CBT INTEREST RATES U.S. TREASURY BOND 17 1

1
A

B
06/2020

03/2021
09/2020

03/2021
1,550 USD
CBT INTEREST RATES U.S. TREASURY BOND 17 1

1
B

A
12/2020

12/2020
12/2020

12/2020
1,250 USD
CBT INTEREST RATES U.S. TREASURY BOND 17 1

1
A

B
12/2020

03/2021
12/2020

03/2021
1,550 USD