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 T1AM7 2 YEAR TREASURY NOTE FUTURES 1 5/8 31-MAR-19 912828C65 06-JUL-17 202,000 202,000 06-JUL-17 31-MAR-19
2-YEAR TREASURY INVOICE SWAP T1AU7 2 YEAR TREASURY NOTE FUTURES 1 5/8 30-JUN-19 912828WS5 04-OCT-17 202,000 202,000 04-OCT-17 30-JUN-19
5-YEAR TREASURY INVOICE SWAP F1AM7 5 YR TREASURY NOTE FUTURES 1 1/8 31-AUG-21 9128282F6 06-JUL-17 98,000 98,000 06-JUL-17 31-AUG-21
5-YEAR TREASURY INVOICE SWAP F1AU7 5 YR TREASURY NOTE FUTURES 1 3/4 30-NOV-21 912828U65 04-OCT-17 101,000 101,000 04-OCT-17 30-NOV-21
10-YEAR TREASURY INVOICE SWAP N1AU7 10Y TREASURY NOTE FUTURES 2 1/2 15-MAY-24 912828WJ5 29-SEP-17 104,000 104,000 29-SEP-17 15-MAY-24
ULTRA 10-YEAR TREASURY INVOICE SW UT1U7 ULTRA 10-YEAR U S TREASURY NOTE FUT 2 1/4 15-FEB-27 912828V98 29-SEP-17 101,000 101,000 29-SEP-17 15-FEB-27
30-YEAR TREASURY INVOICE SWAP B1AU7 30 YR U.S. TREASURY BOND FUTURES 4 1/2 15-FEB-36 912810FT0 29-SEP-17 131,000 131,000 29-SEP-17 15-FEB-36
30-YEAR TREASURY INVOICE SWAP B B2AU7 30 YR U.S. TREASURY BOND FUTURES 5 15-MAY-37 912810PU6 29-SEP-17 141,000 140,000 29-SEP-17 15-MAY-37
ULTRA TREASURY INVOICE SWAP U1AU7 LONG TERM U.S. TREASURY BOND FUTURE 3 3/4 15-NOV-43 912810RD2 29-SEP-17 121,000 121,000 29-SEP-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:ZTM70319A 460 2,300 2,300
2-YEAR TREASURY INVOICE SWAP SPREAD TVA IN:ZTU70619A 460 2,300 2,300
5-YEAR TREASURY INVOICE SWAP SPREAD FYA IN:ZFM70821A 240 2,400 2,448
5-YEAR TREASURY INVOICE SWAP SPREAD FYA IN:ZFU71121A 240 2,400 2,400
10-YEAR TREASURY INVOICE SWAP SPRD TYA IN:ZNU70524A 170 1,700 1,700
ULTRA 10-YEAR TREASURY INVOICE SWAP TNA IN:TNU70227A 170 1,700 1,700
30-YEAR TREASURY INVOICE SWAP SPRD UTA IN:ZBU70236A 120 1,200 1,200
30-YEAR TREASURY INVOICE SWAP B UTB IN:ZBU70537B 120 1,200 1,200
ULTRA TREASURY INVOICE SWAP SPREAD UBA IN:UBU71143A 120 1,200 1,200

Last Updated: 23 Jun 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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