Treasury Invoice Spread Contract Listing


Treasury Invoice Swap Spreads Spread Code (Globex & ClearPort) Block Threshold (Contracts) Future Delivery / Swap Effective CTD Maturity / Swap Maturity CTD Coupon Swap Notional per contract CTD CUSIP Globex Instrument Code Swap Code (Globex)
2-YEAR TREASURY INVOICE SWAP SPREAD TVA 2,335 05-JUL-18 31-MAR-20 1 3/8 197,000 912828J84 IN:ZTM80320A T1AM8
2-YEAR TREASURY INVOICE SWAP SPREAD TVA 2,335 03-OCT-18 30-JUN-20 1 5/8 197,000 912828XH8 IN:ZTU80620A T1AU8
5-YEAR TREASURY INVOICE SWAP SPREAD FYA 2,474 05-JUL-18 31-AUG-22 1 5/8 96,000 9128282S8 IN:ZFM80822A F1AM8
5-YEAR TREASURY INVOICE SWAP SPREAD FYA 2,474 03-OCT-18 30-NOV-22 2 97,000 912828M80 IN:ZFU81122A F1AU8
10-YEAR TREASURY INVOICE SWAP SPRD TYA 1,683 28-SEP-18 30-APR-25 2 7/8 101,000 9128284M9 IN:ZNU80425A N1AU8
ULTRA 10-YEAR TREASURY INVOICE SWAP TNA 1,717 28-SEP-18 15-FEB-28 2 3/4 99,000 9128283W8 IN:TNU80228A UT1U8
30-YEAR TREASURY INVOICE SWAP SPRD UTA 975 28-SEP-18 15-FEB-36 4 1/2 121,000 912810FT0 IN:ZBU80236A B1AU8
30-YEAR TREASURY INVOICE SWAP B UTB 930 28-SEP-18 15-MAY-37 5 129,000 912810PU6 IN:ZBU80537B B2AU8
ULTRA TREAS INVC SWP CANDIDATE2 SPR UBB 1,081 28-SEP-18 15-AUG-43 3 5/8 109,000 912810RC4 IN:UBU80843B U2AU8
ULTRA TREASURY INVOICE SWAP SPREAD UBA 1,061 28-SEP-18 15-NOV-43 3 3/4 113,000 912810RD2 IN:UBU81143A U1AU8

Last Updated: 20 Jun 2018

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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