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.
Tenor | When |
|---|---|
2-YEAR, 5-YEAR, 7-YEAR, 20-YEAR | Announced and Auctioned Second Half of the Month. Issue date is last day of the Month (unless weekend or Holiday) |
3-YEAR, 10-YEAR, 30-YEAR | Announced and Auctioned First Half of the Month. Issue date is 15th of the Month (unless weekend or Holiday) |
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:
Tenor | Announcement Date | Auction Date | Issue date |
|---|---|---|---|
2-Year NOTE | Thursday, April 22, 2021 | Monday, April 26, 2021 | Friday, April 30, 2021 |
5-Year NOTE | Thursday, April 22, 2021 | Monday, April 26, 2021 | Friday, April 30, 2021 |
For Trade date of April 27, 2021 consider following trades:
A Trade on Benchmark 2-Year Note
tag 75-Trade Date | tag 64-Settlement Date | tag 442-MLegRptTyp |
|---|---|---|
April 27, 2021 | April 30, 2021 | 1 |
A Trade on Benchmark 5-Year Note
tag 75-Trade Date | tag 64-Settlement Date | tag 442-MLegRptTyp |
|---|---|---|
April 27, 2021 | April 30, 2021 | 1 |
A Trade on 3-Year Note (Trade date is greater than Issue date, so standard T+1)
tag 75-Trade Date | tag 64-Settlement Date | tag 442-MLegRptTyp |
|---|---|---|
April 27, 2021 | April 28, 2021 | 1 |
A non-implied Trade on 2-Year/3-Year Curve Ration Spread
Trade Capture Report for | tag 75-Trade Date | tag 64-Settlement Date | tag 442-MLegRptTyp |
|---|---|---|---|
2-Year | April 27, 2021 | April 30, 2021 | 2 |
3-Year | April 27, 2021 | April 28, 2021 | 2 |
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..
Trade Capture Report for | tag 75-Trade Date | tag 64-Settlement Date | tag 442-MLegRptTyp |
|---|---|---|---|
RV Curve Spread with Leg repeating Group | April 27, 2021 | April 28, 2021 | 3 |
A non-implied Trade on 3-Year/5-Year Curve Ratio Spread
Trade Capture Report for | tag 75-Trade Date | tag 64-Settlement Date | tag 442-MLegRptTyp |
|---|---|---|---|
3-Year | April 27, 2021 | April 28, 2021 | 2 |
5-Year | April 27, 2021 | April 30, 2021 | 2 |
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.
Trade Capture Report for | tag 75-Trade Date | tag 64-Settlement Date | tag 442-MLegRptTyp |
|---|---|---|---|
RV Curve Spread with Leg repeating Group | April 27, 2021 | April 28, 2021 | 3 |
A non-implied Trade on 2-Year/5-Year Curve Ratio Spread
Trade Capture Report for | tag 75-Trade Date | tag 64-Settlement Date | tag 442-MLegRptTyp |
|---|---|---|---|
2-Year | April 27, 2021 | April 30, 2021 | 2 |
5-Year | April 27, 2021 | April 30, 2021 | 2 |
Trade Capture Report for | tag 75-Trade Date | tag 64-Settlement Date | tag 442-MLegRptTyp |
|---|---|---|---|
RV Curve Spread with Leg repeating Group | April 27, 2021 | April 30, 2021 | 3 |
An Implied Trade on 2-Year/3-Year Curve Ratio Spread
Trade Capture Report for | tag 75-Trade Date | tag 64-Settlement Date | tag 442-MLegRptTyp |
|---|---|---|---|
2-Year | April 27, 2021 | April 30, 2021 | 2 |
3-Year | April 27, 2021 | April 28, 2021 | 2 |
An Implied Trade on 3-Year/5-Year Curve Ratio Spread
Trade Capture Report for | tag 75-Trade Date | tag 64-Settlement Date | tag 442-MLegRptTyp |
|---|---|---|---|
3-Year | April 27, 2021 | April 28, 2021 | 2 |
5-Year | April 27, 2021 | April 30, 2021 | 2 |
An Implied Trade on 2-Year/5-Year Curve Ratio Spread
Trade Capture Report for | tag 75-Trade Date | tag 64-Settlement Date | tag 442-MLegRptTyp |
|---|---|---|---|
2-Year | April 27, 2021 | April 30, 2021 | 2 |
5-Year | April 27, 2021 | April 30, 2021 | 2 |
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