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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Ultra U.S. Treasury Bond Margins

Exchange
Asset Class
Product
Product Code
Maintenance SOM Rate
CBT INTEREST RATES ULTRA LONG TREASURY BOND 97 27 USD
CBT INTEREST RATES ULTRA LONG TREASURY BOND UBE 27 USD
CBT INTEREST RATES ULTRA LONG TREASURY BOND UL1 27 USD
CBT INTEREST RATES ULTRA LONG TREASURY BOND UL2 27 USD
CBT INTEREST RATES ULTRA LONG TREASURY BOND UL3 27 USD
CBT INTEREST RATES ULTRA LONG TREASURY BOND UL4 27 USD
CBT INTEREST RATES ULTRA LONG TREASURY BOND UL5 27 USD
CBT INTEREST RATES ULTRA LONG TREASURY BOND WU1 27 USD
CBT INTEREST RATES ULTRA LONG TREASURY BOND WU2 27 USD
CBT INTEREST RATES ULTRA LONG TREASURY BOND WU3 27 USD
CBT INTEREST RATES ULTRA LONG TREASURY BOND WU4 27 USD
CBT INTEREST RATES ULTRA LONG TREASURY BOND WU5 27 USD
CBT INTEREST RATES ULTRA LONG TREASURY BOND WUW 27 USD

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