Table of Contents
- What is trading at settlement (TAS)?
- What Treasury products and contracts are eligible for TAS?
- What is the minimum tick size for Treasury TAS?
- What is the match algorithm for Treasury TAS?
- What is the max order quantity for Treasury TAS?
- What are the vendor symbols?
- Where can I find the announcements and more info?
1. What is trading at settlement (TAS)?
TAS functionality allows market participants to enter a trade at a spread to the yet-to-be-determined daily settlement price calculated at 3 p.m. ET, for subsequent clearing into the existing products. TAS enables clients to achieve execution at or near the settlement price, making it particularly useful when replicating an index.
2. What Treasury products and contracts are eligible for TAS?
Eligible products: 2-Year (ZT), 5-Year (ZF), 10-Year (ZN), Ultra 10-Year (TN), T-Bond (ZB), Ultra T-Bond (UB)
Eligible contracts: Front month and calendar spreads during roll
3. What is the minimum tick size for Treasury TAS?
The minimum tick size is aligned with the underlying instruments. For example, 10-Year Note TAS trades in 0.5/32nd for outright transactions and 0.25/32nd for spread transactions.
4. What is the match algorithm for Treasury TAS?
All Treasury TAS markets match 100% FIFO.
5. What is the max order quantity for Treasury TAS?
Please refer to the Globex Product Reference Sheet here. The MOQ is also identified in the Security Definition (tag 35-MsgType=d) message in tag 1140-MaxTradeVol. At launch, the MOQ is 4,999 for outrights and tag 1140-MaxTradeVol=9999 for spreads.
6. What are the vendor symbols?
|
CME Globex / ClearPort |
Bloomberg |
CQG |
DTN |
TT |
Fidessa |
FIS Global |
ION |
Itiviti |
Vela |
Refinitiv Composite |
|---|---|---|---|---|---|---|---|---|---|---|---|
2-Year T-Note futures |
ZTT |
ZTIA <Comdty> |
ZTT |
@ZTT |
ZTT |
ZTT |
ZTT |
ZTT |
ZTT |
ZTT |
TTU |
5-Year T-Note futures |
ZFT |
FFTA <Comdty> |
ZZFT |
@ZFT |
ZFT |
ZFT |
ZFT |
ZFT |
ZFT |
ZFT |
FVT |
10-Year T-Note futures |
ZNS |
YNSA <Comdty> |
ZNS |
@ZNS |
ZNS |
ZNS |
ZNS |
ZNS |
ZNS |
ZNS |
TTY |
Ultra 10-Year T-Note futures |
TNT |
TNYA <Comdty> |
TNT |
@TNT |
TNT |
TNT |
TNT |
TNT |
TNT |
TNT |
TPT |
T-Bond futures |
ZBT |
UZBA <Comdty> |
ZBT |
@ZBT |
ZBT |
ZBT |
ZBT |
ZBT |
ZBT |
ZBT |
UST |
Ultra T-Bond futures |
UBT |
UUBA <Comdty> |
UBT |
@UBT |
UBT |
UBT |
UBT |
UBT |
UBT |
UBT |
UAT |
7. Where can I find the announcements and more info?
For additional details, please refer to the Globex notice and SER.
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
