CBOT Treasury Invoice Swaps are a type of standardized, forward starting Libor-reference interest rate swap where:
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For additional details please refer to the relative CFTC filings available available here.
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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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