CME Launches Enhanced 3-Year US Treasury Note Futures


CME Group, the world’s leading and most diverse derivatives marketplace, today announced it will introduce an enhanced version of its 3-Year Treasury Note futures contract on July 13, 2020, pending regulatory review. New features will include a more robust basket of deliverable treasuries and reduced tick size.

“We are pleased to introduce an enhanced 3-Year Treasury Note futures contract, which has been designed to meet the evolving needs of today’s treasury market participants,” said Agha Mirza, CME Group Global Head of Interest Rate Products. “Since 2017, 2-Year and 5-Year Treasury Note futures open interest has rapidly grown in line with stronger end-user demand for exposure at the short end of the yield curve. The changes we are announcing today will offer our clients greater precision and seamless spread trading, which they are seeking amid increased fixed income volatility.”

Additionally, contract updates are expected to improve total cost and ease of trading for clients by more closely aligning the contracts with 2-Year Treasury Note futures — for example, reducing the contract’s tick size from 1/4 of 1/32 to 1/8 of 1/32. This reflects a similar 2-Year Treasury Note futures tick reduction in January 2019, which improved cost-to-trade for participants by as much as 32%.

CME Group will also expand the basket of deliverables for 3-Year Treasury Note futures to include 7-year treasury notes, with remaining term to maturity ranging from two years and nine months to three years. Currently, 3-Year Treasury Note futures have eight issues evenly split between monthly 3-year and 5-year treasury note issues.

These 3-Year Treasury Note futures are listed on and subject to the rules of CBOT. For more information, please visit cmegroup.com/3year.

Source: CME Group

Related articles

  1. A rising tide of electronic execution is improving pricing and liquidity in interest rate swaps.

  2. The first phase of the rewrite was originally due to be implemented in May 2022.

  3. The first amendments to the CFTC's swap data reporting rules come into effect on December 5.

  4. CEDX is planning to expand its range of products in 2023, subject to regulatory approvals.

  5. The paper proposes a path forward for standard SLD documentation.