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This page describes Settlement date for US Treasury Benchmarks (UST) and Curve Ration (RV) spreads, where the US Treasuries are legs, during the period of Auction and Issue dates.

The day after Auction the US Treasury When Issued rolls and becomes a US Treasury Benchmark

General Notes on Announcement & Auction

As per General Auction timing from Treasury.

Tenor

When

2-YEAR, 5-YEAR, 7-YEAR, 20-YEAR


Announced and Auctioned Second Half of the Month.

Issue date is last day of the Month (unless weekend or Holiday)

3-YEAR, 10-YEAR, 30-YEAR


Announced and Auctioned First Half of the Month.

Issue date is 15th of the Month (unless weekend or Holiday)

Settlement Date Rule for UST Benchmarks

  • If Trade date > Auction date and < Issue date, then Settlement date = Issue date.
  • If Trade date => Issue date, then Settlement date = T+1 (next trade day. Not including weekend or Holiday)

Settlement Date Use Case

Given the following Auction:

Tenor

Announcement Date

Auction Date

Issue date

2-Year NOTE

Thursday, April 22, 2021

Monday, April 26, 2021

Friday, April 30, 2021

5-Year NOTE

Thursday, April 22, 2021

Monday, April 26, 2021

Friday, April 30, 2021

For Trade date of April 27, 2021 consider following trades:

A Trade on Benchmark 2-Year Note

tag 75-Trade Date

tag 64-Settlement Date

tag 442-MLegRptTyp

April 27, 2021

April 30, 2021

1

A Trade on Benchmark 5-Year Note

tag 75-Trade Date

tag 64-Settlement Date

tag 442-MLegRptTyp

April 27, 2021

April 30, 2021

1

A Trade on 3-Year Note (Trade date is greater than Issue date, so standard T+1)

tag 75-Trade Date

tag 64-Settlement Date

tag 442-MLegRptTyp

April 27, 2021

April 28, 2021

1

A non-implied Trade on 2-Year/3-Year Curve Ration Spread

Trade Capture Report for

tag 75-Trade Date

tag 64-Settlement Date

tag 442-MLegRptTyp

2-Year

April 27, 2021

April 30, 2021

2

3-Year

April 27, 2021

April 28, 2021

2

For the spread-level Trade Capture Report, the settlement date is the nearest of the two leg dates. Hence settlement date is April 28, reflecting the 3-Year leg..

Trade Capture Report for

tag 75-Trade Date

tag 64-Settlement Date

tag 442-MLegRptTyp

RV Curve Spread with Leg repeating Group

April 27, 2021

April 28, 2021

3

A non-implied Trade on 3-Year/5-Year Curve Ratio Spread

Trade Capture Report for

tag 75-Trade Date

tag 64-Settlement Date

tag 442-MLegRptTyp

3-Year

April 27, 2021

April 28, 2021

2

5-Year

April 27, 2021

April 30, 2021

2

For the spread-level Trade Capture Report, the settlement date is the nearest of the two leg dates. Hence settlement date is April 28, reflecting the 3-Year leg.

Trade Capture Report for

tag 75-Trade Date

tag 64-Settlement Date

tag 442-MLegRptTyp

RV Curve Spread with Leg repeating Group

April 27, 2021

April 28, 2021

3

A non-implied Trade on 2-Year/5-Year Curve Ratio Spread

Trade Capture Report for

tag 75-Trade Date

tag 64-Settlement Date

tag 442-MLegRptTyp

2-Year

April 27, 2021

April 30, 2021

2

5-Year

April 27, 2021

April 30, 2021

2

Trade Capture Report for

tag 75-Trade Date

tag 64-Settlement Date

tag 442-MLegRptTyp

RV Curve Spread with Leg repeating Group

April 27, 2021

April 30, 2021

3

An Implied Trade on 2-Year/3-Year Curve Ratio Spread

Trade Capture Report for

tag 75-Trade Date

tag 64-Settlement Date

tag 442-MLegRptTyp

2-Year

April 27, 2021

April 30, 2021

2

3-Year

April 27, 2021

April 28, 2021

2

An Implied Trade on 3-Year/5-Year Curve Ratio Spread

Trade Capture Report for

tag 75-Trade Date

tag 64-Settlement Date

tag 442-MLegRptTyp

3-Year

April 27, 2021

April 28, 2021

2

5-Year

April 27, 2021

April 30, 2021

2

An Implied Trade on 2-Year/5-Year Curve Ratio Spread

Trade Capture Report for

tag 75-Trade Date

tag 64-Settlement Date

tag 442-MLegRptTyp

2-Year

April 27, 2021

April 30, 2021

2

5-Year

April 27, 2021

April 30, 2021

2

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