CME ClearPort: CBOT Treasury Invoice Swap Block Trade Submission

Effective Sunday, December 14 (for trade date Monday, December 15), pending all relevant CFTC regulatory review periods, CBOT Treasury Invoice Swaps will be listed for trading on CME Globex and for block submission via CME ClearPort. CBOT Treasury Invoice Swaps are a type of standardized, forward starting Libor-reference interest rate swap which will be traded solely as inter-commodity spreads consisting of a long (short) specific, related Treasury futures contract and a long (short) Treasury Invoice Swap contract (IRS).

Please Note: Any party entering an order for or executing a transaction involving a Treasury invoice swap contract shall be required to be either a CME IRS Clearing Member or an IRS Participant registered with CME. Accounts must be permissioned to trade the CBOT Treasury Invoice Swap spreads on CME Globex by their Clearing Firm Administrator via CME Account Manager. More information on permissioning accounts for this product is available online.

• CBOT Treasury Invoice Spread blocks may be submitted as a single block transaction, using the Swap Block Trade type “SWBLK”.
• CME ClearPort users will be required to select the applicable Treasure Invoice Swap leg of the transaction, and the corresponding related Treasury futures contract will be determined by the exchange and displayed for informational purposes.  The submitter must enter prices for the Treasury Invoice swap leg (Fixed Rate percentage, e.g., 2.208) and Treasury futures leg (fractional price, e.g., 126'060), as well as a single quantity in contract equivalents for the spread, which is applicable to each leg at a 1:1 ratio.
  • The actual trading unit for any Treasury swap shall be prescribed by the Exchange from time to time so that the order of magnitude of such swap’s notional principal amount is comparable to the order of magnitude of the unit of trade for the corresponding related Treasury futures contract. The intent of this is to enable the Exchange to establish a Treasury Invoice Swap’s unit of trade so that the DV01 of the swap structure is approximately comparable to the DV01 of the related Treasury futures contract exposure. For any given trade date the applicable trading unit for each Treasury Invoice Swap instrument will be posted on cmegroup.com on the preceding day.
  • The spread quantity entered must be such that the minimum block quantity is met for each leg.
• Although Invoice Spreads will be entered as a single transaction, each leg will be processed by CME ClearPort as a separate, but related trade.  Each leg will have its own unique ClearPort Trade ID, but will share a common ClearPort Link ID, which is displayed and searchable in the Trade Blotter.
• There will be two resulting trade records for each Invoice Spread entered, one representing the swap leg as a “SWBLK” trade, and the other representing the corresponding Treasury futures leg as a “BLOCK” trade.
• In order for Invoice Swaps blocks to be cleared through CME ClearPort, Clearing Firms must permission a given account for both “CBOT IRS (ClearPort)” and “CBOT (ClearPort)” market types for product permissions, as well as the “CME IRS (ClearPort)” market type to indicate the account is eligible for Interest Rate Swap clearing.
  • Limits for the IRS leg will be maintained by Clearing Firm Risk Admins in Calypso DMS, and only the treasury leg’s margin usage will be applied against the account’s CME Account Manager limit.

Please Note: Any party executing a transaction involving a Treasury invoice swap contract shall be required to be either a CME IRS Clearing Member or an IRS Participant registered with CME.

CBOT Treasury Invoice Swaps will be available in New Release for customer testing on Wednesday, December 3.