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 T1AZ6 2 YEAR TREASURY NOTE FUTURES 1 3/8 30-SEP-18 912828RH5 05-JAN-17 202,000 201,000 05-JAN-17 30-SEP-18
5-YEAR TREASURY INVOICE SWAP F1AZ6 5 YR TREASURY NOTE FUTURES 1 1/8 28-FEB-21 912828P87 05-JAN-17 98,000 98,000 05-JAN-17 28-FEB-21
10-YEAR TREASURY INVOICE SWAP N1AZ6 10Y TREASURY NOTE FUTURES 2 1/2 15-AUG-23 912828VS6 30-DEC-16 103,000 102,000 30-DEC-16 15-AUG-23
ULTRA 10-YEAR TREASURY INVOICE SW UT1Z6 ULTRA 10-YEAR U S TREASURY NOTE FUT 1 5/8 15-MAY-26 912828R36 30-DEC-16 94,000 93,000 30-DEC-16 15-MAY-26
30-YEAR TREASURY INVOICE SWAP B1AZ6 30 YR U.S. TREASURY BOND FUTURES 4 1/2 15-FEB-36 912810FT0 30-DEC-16 128,000 127,000 30-DEC-16 15-FEB-36
ULTRA TREASURY INVOICE SWAP U1AZ6 LONG TERM U.S. TREASURY BOND FUTURE 3 1/8 15-FEB-42 912810QU5 30-DEC-16 103,000 102,000 30-DEC-16 15-FEB-42

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:ZTZ60918A 460 2,300 2,300
5-YEAR TREASURY INVOICE SWAP SPREAD FYA IN:ZFZ60221A 240 2,400 2,448
10-YEAR TREASURY INVOICE SWAP SPRD TYA IN:ZNZ60823A 170 1,700 1,700
ULTRA 10-YEAR TREASURY INVOICE SWAP TNA IN:TNZ60526A 170 1,700 1,808
30-YEAR TREASURY INVOICE SWAP SPRD UTA IN:ZBZ60236A 120 1,200 1,200
ULTRA TREASURY INVOICE SWAP SPREAD UBA IN:UBZ60242A 120 1,200 1,200

Last Updated: 02 Dec 2016

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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