CME STP FIX - Settlement Date Handling for US Treasury Benchmarks and Curve Ratio Spreads

This section describes Settlement date for US Treasury Benchmarks (UST), Curve Ration (RV) spreads and butterfly, 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.

Announcement & Auction Timing

The table below outlines the general auction timing for US Treasuries.

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 Example

Given the following Auction cycle:

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

Trade on Benchmark 2-Year Note

Trade on Benchmark 5-Year Note

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

Non-implied Trade on 2-Year/3-Year Curve Ration Spread

Spread-level Trade Capture Report

The settlement date is the nearest of the two leg dates. Therefore, the settlement date is April 28, reflecting the 3-Year leg:

Non-implied Trade on 3-Year/5-Year Curve Ratio Spread

Spread-level Trade Capture Report

The settlement date is the nearest of the two leg dates. Therefore, the settlement date is April 28, reflecting the 3-Year leg:

Non-implied Trade on 2-Year/5-Year Curve Ratio Spread

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

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

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