CBOT Treasury Invoice Swaps are a type of standardized, forward starting Libor-reference interest rate swap where: 

• The fixed interest rate is set with reference to a specified Treasury delivery invoice yield — the yield to maturity associated with the delivery invoice price for a specified Treasury futures contract, fulfilled by delivery of a given deliverable-grade Treasury security, on a given futures contract delivery date.

• Fixed-rate interest payment dates, which occur semiannually, are scheduled to align with the coupon payment dates for the specified deliverable-grade Treasury security — typically, but not always, the Treasury issue that is either Cheapest to Deliver (CTD) or a close contender for CTD status, in fulfillment of the specified Treasury futures contract.

• Floating-rate interest payment dates, which occur quarterly, also are scheduled to align with the coupon payment schedule for the specified deliverable-grade Treasury security.

Accordingly, each CBOT Treasury Invoice Swap shall be standardized in terms of: 

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(c) a specified delivery date allowable under the terms of Treasury futures contract. 

For additional details please refer to the relative CFTC filings available here.

Contents

Mandatory Customer Account Registration

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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

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.

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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 For example, IN:ZTM50317A translates as:

• 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.

For example, T1AM4 translates as:

• Product Code = T1A

• Month/Year = M4

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.

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The swap leg is initially assigned the spread differential as a placeholder price in the Trade market data and is then assigned the applicable fixed interest rate r as follows:

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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. The table below represents the instruments that can be listed for trading.