CME STP - Settlement Date Use Case for US Treasury Benchmarks and Curve Ratio Spreads

This page describes Settlement date for US Treasury Benchmarks (UST) and Curve Ration (RV) spreads, where the US Treasuries are legs, during the period of Auction and Issue dates.

The day after Auction the US Treasury When Issued rolls and becomes a US Treasury Benchmark

General Notes on Announcement & Auction

As per General Auction timing from Treasury.

Settlement Date Rule for UST Benchmarks

• If Trade date > Auction date and < Issue date, then Settlement date = Issue date.

• If Trade date => Issue date, then Settlement date = T+1 (next trade day. Not including weekend or Holiday)

Settlement Date Use Case

Given the following Auction:

For Trade date of April 27, 2021 consider following trades:

A Trade on Benchmark 2-Year Note

A Trade on Benchmark 5-Year Note

A Trade on 3-Year Note (Trade date is greater than Issue date, so standard T+1)

A non-implied Trade on 2-Year/3-Year Curve Ration Spread

For the spread-level Trade Capture Report, the settlement date is the nearest of the two leg dates. Hence settlement date is April 28, reflecting the 3-Year leg..

A non-implied Trade on 3-Year/5-Year Curve Ratio Spread

For the spread-level Trade Capture Report, the settlement date is the nearest of the two leg dates. Hence settlement date is April 28, reflecting the 3-Year leg.

A non-implied Trade on 2-Year/5-Year Curve Ratio Spread

An Implied Trade on 2-Year/3-Year Curve Ratio Spread

An Implied Trade on 3-Year/5-Year Curve Ratio Spread

An Implied Trade on 2-Year/5-Year Curve Ratio Spread