• Initial Listing of Ultra 10-Year Treasury Invoice Swap Contracts

      • To
      • Members, Member Firms and Market Users
      • From
      • Research and Product Development
      • #
      • SER-7653
      • Notice Date
      • 16 May 2016
      • Effective Date
      • 05 June 2016
    • Effective Sunday, 5 June 2016, for first trade date of Monday, 6 June 2016, and pending all relevant CFTC regulatory review periods, The Board of Trade of the City of Chicago, Inc. (“CBOT” or “Exchange”) will expand its current listings of Treasury Invoice Swaps with the launch of Ultra 10-Year Treasury Invoice Swap contracts (Clearing Codes TNA, TNB, TNC, TND, TNE, and TDF) ( “Contracts”) for trading on the CME Globex electronic trading platform (“CME Globex”) in the form of intermarket spreads known as invoice spreads, and for the submission of clearing block transactions via CME ClearPort.  The initial listing of the Contracts shall include swaps for which the corresponding relevant CBOT Treasury futures contracts are for delivery in June 2016 and September 2016.

      Please refer questions on CBOT Treasury invoice swaps and invoice spreads to:

      Matthew Gierke             matthew.gierke@cmegroup.com         312 930 8543

      Agha Mirza                    agha.mirza@cmegroup.com               212 299 2833

      Frederick Sturm             frederick.sturm@cmegroup.com         312 930 1282

      Please click here for PDF of SER-7653.