CBOT Treasury Invoice Swaps are a type of standardized, forward starting Libor-reference interest rate swap where:
...
| Panel |
|---|
| CBOT Treasury Invoice Swaps are listed for trading on CME Globex solely in the form of intercommodity spreads, known as Treasury Invoice Spreads, that require the simultaneous execution of a Treasury Invoice Swap and the corresponding related CBOT Treasury futures contract. Additionally, market participants may notify the Exchange of block transactions in such Treasury Invoice Spreads on CME ClearPort. |
| Noteinfo |
|---|
Implied functionality is not available. |
...
For additional details please refer to the relative CFTC filings available available here.
Contents
| Table of Contents |
|---|
...
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.
| Noteinfo |
|---|
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. |
...
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:
...