• Treasury Invoice Swaps Launch on December 15, 2014

      • To
      • Clearing Member Firms; Back Office Managers; Service Providers
      • From
      • CME Clearing
      • #
      • 14-429
      • Notice Date
      • 06 November 2014
      • Effective Date
      • 14 December 2014

    • Effective Sunday, December 14, 2014, for first trade date of Monday, December 15, 2014, CBOT shall begin to offer trading in new interest rate swap products called Treasury Invoice Swaps pending all relevant CFTC Regulatory review periods.  These swaps shall be listed for trading solely in the form of inter-commodityspreads, known as invoice spreads, consisting of the simultaneous execution of a Treasury invoice swap and the corresponding related CBOT Treasury futures contract. Treasury Invoice Swaps will be available for trading on CME Globex, and additionally market participants may notify CBOT of block transactions in such invoice spreads via CME Clearport.

      For each such invoice spread executed or reported, clearing firms will receive one trade confirmation message for the Treasury Invoice Swap and a second trade confirmation message for the related Treasury future.  As described in more detail below, these trade confirmation messages will contain data which will allow firms to recognize that the transaction originated as an invoice swap. 

      Other than this additional data, however, the invoice swap transaction and the Treasury futures transaction will appear as any other cleared trade.  There will be no impact to firm bookkeeping systems which already handle interest-rate swaps and Treasury futures, and no need to set up any new products in such systems.

      For the full text of this advisory, please click here.