Joined: Aug 22, 2014
Posted: Nov 12, 2020 03:43 PM
Msg. 1 of 1
After review of the US Treasury Note Future contracts on the CBOT and their expiration dates we have determined to improve consistency throughout the contracts by aligning the roll date of @3N# (3 Year Treasury Note) with the 2,5,10 and 30 year Treasury notes.
NOTE: This will not affect @3NH21 (March 2021)
Current Roll rule for @3N# has it rolling on 12/31/2020 (On Expiration)
Proposed Roll rule for @3N# 11/27/2020 (roll prior month minus one business day)
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Senior Customer Support Representative and Product Support Specialist