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 2,288 04-JAN-18 30-SEP-19 1 3/4 201,000 912828F39 IN:ZTZ70919A T1AZ7
2-YEAR TREASURY INVOICE SWAP SPREAD TVA 2,288 04-APR-18 31-DEC-19 1 5/8 200,000 912828G95 IN:ZTH81219A T1AH8
5-YEAR TREASURY INVOICE SWAP SPREAD FYA 2,400 04-JAN-18 28-FEB-22 1 7/8 100,000 912828W55 IN:ZFZ70222A F1AZ7
5-YEAR TREASURY INVOICE SWAP SPREAD FYA 2,400 04-APR-18 31-MAY-22 1 3/4 99,000 912828XR6 IN:ZFH80522A F1AH8
10-YEAR TREASURY INVOICE SWAP SPRD TYA 1,683 29-DEC-17 15-AUG-24 2 3/8 101,000 912828D56 IN:ZNZ70824A N1AZ7
10-YEAR TREASURY INVOICE SWAP SPRD TYA 1,683 29-MAR-18 15-NOV-24 2 1/4 100,000 912828G38 IN:ZNH81124A N1AH8
ULTRA 10-YEAR TREASURY INVOICE SWAP TNA 1,700 29-DEC-17 15-MAY-27 2 3/8 100,000 912828X88 IN:TNZ70527A UT1Z7
ULTRA 10-YEAR TREASURY INVOICE SWAP TNA 1,700 29-MAR-18 15-AUG-27 2 1/4 99,000 9128282R0 IN:TNH80827A UT1H8
30-YEAR TREASURY INVOICE SWAP SPRD UTA 909 29-DEC-17 15-FEB-36 4 1/2 132,000 912810FT0 IN:ZBZ70236A B1AZ7
30-YEAR TREASURY INVOICE SWAP SPRD UTA 909 29-MAR-18 15-FEB-36 4 1/2 130,000 912810FT0 IN:ZBH80236A B1AH8
ULTRA TREASURY INVOICE SWAP SPREAD UBA 991 29-DEC-17 15-NOV-43 3 3/4 121,000 912810RD2 IN:UBZ71143A U1AZ7
ULTRA TREAS INVC SWP CANDIDATE2 SPR UBB 1,016 29-MAR-18 15-AUG-43 3 5/8 118,000 912810RC4 IN:UBH80843B U2AH8
ULTRA TREASURY INVOICE SWAP SPREAD UBA 991 29-MAR-18 15-NOV-43 3 3/4 121,000 912810RD2 IN:UBH81143A U1AH8

Last Updated: 15 Dec 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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