Treasury Invoice Spread Contract Listing


Treasury Invoice Swap Spreads Spread Code (Globex & ClearPort) Block Threshold (Contracts) Future Delivery / Swap Effective CTD Maturity / Swap Maturity CTD Coupon Swap Notional per contract CTD CUSIP Globex Instrument Code Swap Code (Globex)
2-YEAR TREASURY INVOICE SWAP SPREAD TVA 2,233 05-OCT-20 15-JUN-22 1 3/4 206,000 9128286Y1 IN:ZTU00622A T1AU0
5-YEAR TREASURY INVOICE SWAP SPREAD FYA 2,264 05-OCT-20 30-NOV-24 1 1/2 106,000 912828YV6 IN:ZFU01124A F1AU0
10-YEAR TREASURY INVOICE SWAP SPRD TYA 1,405 30-SEP-20 15-MAY-27 23 3/4 121,000 912828X88 IN:ZNU00527A N1AU0
ULTRA 10-YEAR TREASURY INVOICE SWAP TNA 1,574 30-SEP-20 15-FEB-30 1 1/2 108,000 912828Z94 IN:TNU00230A UT1U0
30-YEAR TREASURY INVOICE SWAP SPRD UTA 779 30-SEP-20 15-FEB-36 4 1/2 154,000 912810FT0 IN:ZBU00236A B1AU0
30-YEAR TREASURY INVOICE SWAP B UTB 736 30-SEP-20 15-MAY-37 5 163,000 912810PU6 IN:ZBU00537B B2AU0
ULTRA TREASURY INVOICE SWAP SPREAD UBA 869 30-SEP-20 15-NOV-45 3 138,000 912810RP5 IN:UBU01145A U1AU0
ULTRA TREAS INVC SWP CANDIDATE2 SPR UBB 882 30-SEP-20 15-FEB-47 3 136,000 912810RV2 IN:UBU00247B U2AU0

Last Updated: 14 Jul 2020

Methodology for setting Treasury Invoice Swap notional value is described in Section 2, for Trading Unit, in Interpretations & Special Notices Relating to Chapter 58 of the CBOT Rulebook.

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