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 2,243 06-JAN-20 15-SEP-21 2 3/4 205,000 9128285A4 IN:ZTZ90921A T1AZ9
5-YEAR TREASURY INVOICE SWAP SPREAD FYA 2,330 06-JAN-20 29-FEB-24 2 3/8 103,000 9128286G0 IN:ZFZ90224A F1AZ9
10-YEAR TREASURY INVOICE SWAP SPRD TYA 1,700 31-DEC-19 30-JUN-26 1 7/8 100,000 9128287B0 IN:ZNZ90626A N1AZ9
ULTRA 10-YEAR TREASURY INVOICE SWAP TNA 1,634 31-DEC-19 15-MAY-29 2 3/8 104,000 9128286T2 IN:TNZ90529A UT1Z9
30-YEAR TREASURY INVOICE SWAP SPRD UTA 895 31-DEC-19 15-FEB-36 4 1/2 134,000 912810FT0 IN:ZBZ90236A B1AZ9
30-YEAR TREASURY INVOICE SWAP B UTB 869 31-DEC-19 15-FEB-37 4 3/4 138,000 912810PT9 IN:ZBZ90237B B2AZ9
ULTRA TREASURY INVOICE SWAP SPREAD UBA 1,081 31-DEC-19 15-MAY-45 3 111,000 912810RM2 IN:UBZ90545A U1AZ9
ULTRA TREAS INVC SWP CANDIDATE2 SPR UBB 1,090 31-DEC-19 15-NOV-45 / 110,000 912810RP5 IN:UBZ91145B U2AZ9

Last Updated: 08 Nov 2019

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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