CBOT Treasury Invoice Swaps are a type of standardized, forward starting Libor-reference interest rate swap where:
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Contents
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Mandatory Customer Account Registration
For trading of any swap products, including futures/swap spreads such as Invoice Swaps, registration of accounts is required through the CME Account Management Service.
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An order submitted from an unregistered account will be rejected with a Session Level Reject (tag 35-MsgType = 3) message with tag 58-Text = This account is prevented from trading interest rate swaps. |
Give-Ups
Give-Ups are not supported for the swap leg of Invoice Swaps. The swap leg must initially clear in the registered trading account. Post-trade transfers can be performed in Clearing if desired.
If Give-Up instructions are specified on an order message (using tag 79-AllocAccount in conjunction with tag 9707-GiveupFirm), the Give-Up will be attempted only on the futures leg of the Invoice Swap.
Market Data
MDP Channels
Invoice Swap market data is disseminated on the MDP 3.0 CBOT Globex Interest Rate Futures channel 344.
Market Data Messaging Impacts
The following value is sent in the market data Security Definition message for Invoice Swaps.
Security Definition for Invoice Swap
| Tag | Name | Value | Description |
|---|---|---|---|
| 762 | SecuritySubType | IN | IN = Invoice Swap |
Security Definition for Interest Rate Swap
The following values are sent in the market data Security Definition message for the non-tradeable Interest Rate Swap instrument.
| Tag | Name | Value | Description |
|---|---|---|---|
| 167 | SecurityType | IRS | IRS = Interest Rate Swap |
| 461 | CFICode | MRRXXX | CFI code for Swap instrument type. M = Other R = Referential instrument R = Interest rates X = Undefined X = Undefined X = Undefined |
Trading Treasury Invoice Swaps
Treasury Invoice Swap contracts shall be permitted to trade only as components of intercommodity spreads with the corresponding related Treasury futures contracts, until such time as the Exchange may decide to enable outright trading in Treasury Invoice Swaps. Specifically, any party entering such Treasury Invoice Swap as the payer of fixed-rate interest shall be required to be a purchaser of the related Treasury futures contract through an intercommodity spread, and conversely any party entering such Treasury Invoice Swap as the receiver of fixed rate interest shall be required to be a seller of the related Treasury futures contract.
Treasury Invoice Spread Security Description
The value sent in tag 55-Symbol for MDP 3.0 will be built as follows:
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- IN: = Strategy type (Invoice Swap) with colon
- ZTM5 = 2-Yr Treasury Note futures for June 2015 delivery. Full 4 character XXMY product code of the related treasury futures contract.
- 03 = March. Numeric 2-character code for month of maturity date of Invoice Swap and related futures contract’s nominated Cheapest-to-Deliver (CTD) Treasury security.
- 17 = 2017. Numeric 2-character code for year of maturity date of Invoice Swap and related futures contract’s nominated CTD Treasury security.
- A = Related futures contract delivery indicator:
- A, B, or C for related futures contract’s first-, second-, or third-nominated CTD Treasury security, for delivery on contract’s last eligible delivery date. In example, A = delivery of first-nominated CTD Treasury security on contract’s last eligible delivery date.
- D, E, or F for related futures contract’s first-, second-, or third-nominated CTD Treasury security, for delivery on contract’s first eligible delivery date. In example, D = delivery of first-nominated CTD Treasury security on contract’s first eligible delivery date.
Treasury Invoice Swap Product Codes
The non-tradeable Treasury Invoice Swap follows standard instrument naming conventions.
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Each CBOT Treasury Invoice Swap traded as an Invoice Spread on CME Globex will be paired with an underlying future based on market conditions at the time of listing and will be associated with a First or Last to Deliver date, relative to the Cheapest to Deliver swap. More than one Invoice Spread may be listed within a particular maturity, given market conditions.
Treasury Invoice Swap Unit of Trade
The trading unit for Treasury Invoice Swap is defined in the Security Definition message with the same contract size as the related Treasury future, e.g., 200,000 USD for the 2 YR, and 100,000 USD for the 10 YR, etc. Tag 1147-UnitofMeasureQty from the Security Definition message (tag 35-MsgType=d) provides the information to determine the contract size for each instrument.
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For any given trade date, the applicable trading unit for each Treasury Invoice Swap instrument will be posted on cmegroup.com on the preceding day.
Treasury Invoice Spread Leg
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Pricing
The price basis for quoting or trading a Treasury Invoice Swap contract shall be the corresponding Treasury Invoice Swap spread as established through trading of the corresponding invoice spread as follows:
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The final fixed rate of the swap will be distributed to clearing firms through clearing feeds and the trade register, and will be distributed in real time to participants who are subscribers to the CME STP.
Swap Data Repository (SDR)
All Treasury Invoice Swaps traded on CME Globex as part of intermarket Treasury Invoice Spreads will be reported to the CME SDR for Part 43 and Part 45 reporting.
Available Instruments
Each CBOT Treasury Invoice Swap traded as an Invoice Spread on CME Globex will be paired with an underlying future based on market conditions at the time of listing and will be associated with a First or Last to Deliver date, relative to the Cheapest to Deliver Swap. More than one Invoice spread may be listed within a particular maturity, given market conditions. The table below represents the instruments that can be listed for trading.
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