Contract Details for Current Listing of Treasury Invoice Swaps (Non-Tradable as outright)


      Reference Security (CTD)          
Treasury Invoice Swaps (non-tradable) Globex Instrument Code Related CBOT Treasury Future Coupon Maturity CUSIP Delivery Date Current Notional Value (per contract) Previous Notional Value (per contract) Swap Effective Date Swap Maturity Date
2-YEAR TREASURY INVOICE SWAP T1AH7 2 YEAR TREASURY NOTE FUTURES 1 1/2 31-DEC-18 912828A75 05-APR-17 202,000 202,000 05-APR-17 31-DEC-18
5-YEAR TREASURY INVOICE SWAP F1AH7 5 YR TREASURY NOTE FUTURES 1 3/8 31-MAY-21 912828R77 05-APR-17 99,000 98,000 05-APR-17 31-MAY-21
10-YEAR TREASURY INVOICE SWAP N1AH7 10Y TREASURY NOTE FUTURES 2 3/4 15-NOV-23 912828WE6 31-MAR-17 104,000 104,000 31-MAR-17 15-NOV-23
ULTRA 10-YEAR TREASURY INVOICE SW UT1H7 ULTRA 10-YEAR U S TREASURY NOTE FUT 1 1/2 15-AUG-26 9128282A7 31-MAR-17 92,000 92,000 31-MAR-17 15-AUG-26
30-YEAR TREASURY INVOICE SWAP B1AH7 30 YR U.S. TREASURY BOND FUTURES 4 1/2 15-FEB-36 912810FT0 31-MAR-17 126,000 126,000 31-MAR-17 15-FEB-36
30-YEAR TREASURY INVOICE SWAP B B2AH7 30 YR U.S. TREASURY BOND FUTURES 5 15-MAY-37 912810PU6 31-MAR-17 136,000 135,000 31-MAR-17 15-MAY-37
ULTRA TREASURY INVOICE SWAP U1AH7 LONG TERM U.S. TREASURY BOND FUTURE 3 3/4 15-NOV-43 912810RD2 31-MAR-17 115,000 114,000 31-MAR-17 15-NOV-43

Contract Details for Current Listing of Treasury Invoice Swap Spreads (Tradable)


      Treasury Invoice Spread Block Trade Standards
Treasury Invoice Spreads Globex & ClearPort Product Code Globex Instrument Code Minimum Block Trade Threshold - Invoice Swap Notional Principle Amount ($ mins) Minimum Block Trade Threshold - Treasury Futures Contracts Current Minimum Treasury Invoice Spread Quantity to Fulfill Minimum Threshold for each leg
2-YEAR TREASURY INVOICE SWAP SPREAD TVA IN:ZTH71218A 460 2,300 2,300
5-YEAR TREASURY INVOICE SWAP SPREAD FYA IN:ZFH70521A 240 2,400 2,424
10-YEAR TREASURY INVOICE SWAP SPRD TYA IN:ZNH71123A 170 1,700 1,700
ULTRA 10-YEAR TREASURY INVOICE SWAP TNA IN:TNH70826A 170 1,700 1,847
30-YEAR TREASURY INVOICE SWAP SPRD UTA IN:ZBH70236A 120 1,200 1,200
30-YEAR TREASURY INVOICE SWAP B UTB IN:ZBH70537B 120 1,200 1,200
ULTRA TREASURY INVOICE SWAP SPREAD UBA IN:UBH71143A 120 1,200 1,200

Last Updated: 17 Feb 2017

Methodology for setting Treasury Invoice Swap notional value is described in Section 2, for Trading Unit, in Interpretations & Special Notices Relating to Chapter 58 of the CBOT Rulebook.

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