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.
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For trading of any swap products, including futures/swap spreads such as Invoice Swaps, registration of accounts is required through the CME Account ManagerManagement Service.
Note |
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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. |
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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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Product | iLink: tag 55-Symbol MDP 3.0: tag 1151-SecurityGroup | iLink: tag 1151-Security Group MDP 3.0: tag 6937-Asset | Delivery (First or Last) |
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2 Year Treasury Invoice Swap, Candidate 1-3 per F/L (Non tradable) | 06 | T1A | Last to deliver |
T2A | |||
T3A | |||
T4A | First to deliver | ||
T5A | |||
T6A | |||
2 Year Treasury Invoice Swap Spread, Candidate 1-3 per F/L | ZT | TVA | Last to deliver |
TVB | |||
TVC | |||
TVD | First to deliver | ||
TVE | |||
TVF | |||
5 Year Treasury Invoice Swap, Candidate 1-3 per F/L (Non tradable) | 06 | F1A | Last to deliver |
F2A | |||
F3A | |||
F4A | First to deliver | ||
F5A | |||
F6A | |||
5 Year Treasury Invoice Swap Spread, Candidate 1-3 per F/L | ZF | FYA | Last to deliver |
FYB | |||
FYC | |||
FYD | First to deliver | ||
FYE | |||
FYF | |||
10 Year Treasury Invoice Swap, Candidate 1-3 per F/L (Non tradable) | 06 | N1A | Last to deliver |
N2A | |||
N3A | |||
N4A | First to deliver | ||
N5A | |||
N6A | |||
10 Year Treasury Invoice Swap Spread, Candidate 1-3 per F/L | ZN | TYA | Last to deliver |
TYB | |||
TYC | |||
TYD | First to deliver | ||
TAY | |||
TAB | |||
Treasury Bond Invoice Swap, Candidate 1-3 per F/L (Non tradable) | 06 | B1A | Last to deliver |
B2A | |||
B3A | |||
B4A | First to deliver | ||
B5A | |||
B6A | |||
Treasury Bond Invoice Invoice Swap Spread, Candidate 1-3 per F/L | ZB | UTA | Last to deliver |
UTB | |||
UTC | |||
UTD | First to deliver | ||
UTE | |||
UET | |||
Treasury Ultra Bond Invoice Swap, Candidate 1-3 per F/L (Non tradable) | 06 | U1A | Last to deliver |
U2A | |||
U3A | |||
U4A | First to deliver | ||
U5A | |||
U6A | |||
Treasury Ultra Bond Invoice Invoice Swap Spread, Candidate 1-3 per F/L | ZU | UBA | Last to deliver |
UBB | |||
UBC | |||
UBI | First to deliver | ||
UBP | |||
UBF |