FAQ: Trading at settlement (TAS) for US Treasury futures


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.

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