3-Year Treasury Note Future [System-Wide Security Added] | Weekly Release 7/17/20

This week’s release features the relaunch of the 3-Year T-Note future with complete support of the “3Y” contract in the RiskVal suite. Key sheets include: USD 2+ Trsy RVS graph, USD Bond, Sprd/Bfly, Invoice Spread, Future Calendar Roll, Future CTD Scenario and Future Net Basis Forecast

The 3-year future will have historical time series collected and available system-wide.

1. USD Bond Roll Analysis

Traders using the USD Bond Roll Analysis sheet that don’t already have future rows enabled can add them by clicking Tools – Load Future Rows as shown below.

Traders can utilize the future analysis section of USD Bond to conduct analysis on the 3-year future and its deliverable basket. Traders can do this by entering in either the issue-specific future (3YU0). The following example shows the front 3-year future contract (3YU0) as the future benchmark for analysis. This highlights the CTD row (the 2.625 June 30, 2023 bond) and populates the basis, invoice spread, and forward ASW information in the respective columns.

This can also be seen in the lower panel graphs. The measure is set to FASW YY vs FOISprd YY to traders can see the Invoice Spread (green diamonds). The maturity sector has been limited to the 2y-5y maturity to see the most relevant portion of the curve.

Also, in the Curve Analysis window of USD Bond, the 3-year future is labeled as “3Y” and the on-the-run 3-year bond is labeled as “3”. The OTR bonds also follow the same pattern of being labeled as “#”. The screenshot below shows the deliverable bonds for the 3-year future in the Curve Analysis window.

2. USD Trsy 2+ RVS graph

In the 2+ RVS graph, the 3-year t-note future is labeled as “3Y” and the OTR 3-year is labeled as “CT3” to prevent confusion. All OTR bonds in the 2+ RVS graph as labeled as “CT#” as well.

3. Swap Box

In the Swap Box traders, can either enter 3Y1 for the generic front contract or 3Y[HMUZ#] for the issue specific contract. The example below shows a Bond-Bond Future strategy being created with the CT3 being the bond leg and the 3YU0 contract being the future leg.

4. USD Sprd/Bfly

For creating strategies with the 3-year future in the USD Sprd/Bfly window, traders can either enter in 3Y1 for the generic 3-year future, or 3Y[HMUZ#] for the issue specific future. The screenshot below shows both formats.

5. Trade Blotter

In the Trade Blotter, traders may only enter in the issue specific future (3Y[HMUZ#]).

6. New Global IVSP & Future Calendar Roll windows

Lastly, in both the New Global IVSP window (which can be found by clicking Window – New Global IVSP) and the Future Calendar Roll monitor (Window – Future Calendar Roll) the 3-year future has been automatically added for those who have the USD currency enabled. The first of the following two screenshots shows the IVSP YY highlighted for the front contract of the 3-year future (3YU0). The second screenshot shows the calendar roll level highlighted for the 3-year future pair (3YU0-3YZ0).

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RiskVal Financial Solutions, LLC, is a global supplier of SaaS for trading strategies, risk management, and portfolio management. RiskVal provides software such as analytics and trading systems in fixed-income, credit derivative, equity, foreign exchange, and derivative securities.

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