Relaunch of the 3-Year Treasury Note Future | Weekly Release 5/8/20

In preparation for the relaunch on July 13, 2020, RiskVal has added back the 3Y UST future contract with updated contract specs in accordance with CME. Since the 3Y future is not yet traded, traders can get ahead of the curve and analyze the deliverable basket in RiskVal’s Future CTD Scenario & Future Net Basis Forecast sheets

  • 3-Year Contract Specs (according to CME): Increased deliverable basket size now includes off-the-run 7-year notes, with a remaining maturity of 2 years, 9 months to 3 years.

Use the Future CTD to evaluate the deliverable basket and simulate various scenario analysis to analyze which market factors will affect the 3Y contract Cheapest-To-Deliver

Since this contract is not yet traded, we recommend traders check “Use 0 Net Basis Px” to imply the Future Px. Note, if traders wish to run the delivery probability and scenario analysis, input the Annual NVol assumption.

Use the Future NB Forecast sheet to analyze out the deliverable basket for further out contracts (max of 35). Enter “3Y” in the Future Prefix field.

If traders check on the “Use 0 Net Basis Px” in the Future CTD Scenario Analysis, the Future Px will be shared in the Future Net Basis.

With the addition of aging 7-year notes in the 3Y future, the deliverable basket is increased.

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