INTEREST RATESTreasury Invoice Swaps
CONTRACT SPECIFICATIONSCBOT TREASURY INVOICE SWAPSTRADING UNIT

SWAP TENORS

USD forward-starting SOFR-reference interest rate swap, cleared by CME Clearing, traded on CME Globex, andstandardized with reference to: (a) a specified related CBOT Treasury futures contract; (b) coupon rate per annum
and maturity date of a specified related Treasury security eligible for delivery into related futures contract (a); and(c) a specified related delivery date allowable under the terms of related futures contract (a).
RELATED CBOT TREASURY FUTURES CONTRACTAPPROXIMATE IRS TENORTREASURY ULTRA BOND INVOICE SWAP

Long Term “Ultra” Treasury Bond (UB)

25 yrs

TREASURY BOND INVOICE SWAPTreasury Bond (US)

15 yrsULTRA 10-YEAR INVOICE SWAP

Ultra 10-Year Treasury Note (TN)

9 yrs 5 mos

10-YEAR INVOICE SWAP

10-Year Treasury Note (TY)

6 yrs 6 mos

5-YEAR INVOICE SWAP

5-Year Treasury Note (FV)

4 yrs 3 mos

2-YEAR INVOICE SWAP

2-Year Treasury Note (TU)

1 yr 9 mos

FIRST (F)LAST (L)First bus day of Mar, Jun, Sep, or Dec

Last bus day of Mar, Jun, Sep, orDec

First bus day of Mar, Jun, Sep, or Dec

Mar: 3rd bus day of Apr

TREASURY ULTRA BOND INVOICE SWAP
EFFECTIVE
DATES
Either first (F) orlast (L) delivery
date for therelated CBOT
Treasury futurescontract

TREASURY BOND INVOICE SWAPULTRA 10-YEAR INVOICE SWAP
10-YEAR INVOICE SWAP
5-YEAR INVOICE SWAP
2-YEAR INVOICE SWAP

Jun: 3rd bus day of Jul
Sep: 3rd bus day of Oct
Dec: 3rd bus day of Jan

PRICE BASIS

Swap spread, quoted in basis points per annum

MINIMUM
PRICE
INCREMENT

1/10th of one basis point per annum, eg, 11.8, 11.9, 12.0, 12.1

TERMINATION
OF TRADING

Coincident with termination of trading in the related Treasury futures contract, if the related delivery date is thefutures contract’s last delivery date.
Close of trading on second business day before first delivery date of the related Treasury futures contract, if therelated delivery date is the futures contract’s first delivery date.

TRADINGHOURS

CME Globex: 5 p.m. to 4 p.m., Sun-Fri.
CME Globex Trade Match Algorithm: First In First Out (FIFO)CME ClearPort: 5 p.m. to 4:15 p.m., Sun, Fri. For submission of block trades only.

COMMODITY CODESCONTRACT LISTING

PRIMARY

SECONDARYTERTIARY

4TH

5TH

6TH

TREASURY ULTRA BOND INVOICE SWAP

U1A

U2A

U3A

U4A

U5A

U6A

TREASURY BOND INVOICE SWAP

B1A

B2A

B3A

B4A

B5A

B6A

ULTRA 10-YEAR INVOICE SWAPUT1UT2UT3UT4UT5UT610-YEAR INVOICE SWAP

N1A

N2A

N3A

N4A

N5A

N6A

5-YEAR INVOICE SWAP

F1A

F2A

F3A

F4A

F5AF6A

2-YEAR INVOICE SWAP

T1A

T2A

T3A

T4A

T5A

T6A

CME CLEARING ELECTIONS FOR CBOT TREASURY INVOICE SWAPSEFFECTIVE DATE

Either first delivery date or last delivery date allowable for a specified related CBOT Treasury
futures contract.

CURRENCYUSDNOTIONAL AMOUNT

Minimum increments of $0.01

BUSINESS DAY(S)New York and London

BUSINESS DAY CONVENTION

Modified Following

TERMINATION DATE

Maturity date for a specified related Treasury security eligible for delivery into the related
CBOT Treasury futures contract

FIXED RATE PAYMENT DATESAll semiannual period dates made with reference to Termination Date, within interval startingwith (and excluding) Effective Date and ending with (and including) Termination Date.

FIXED RATE(Treasury futures contract delivery invoice yield) + (Treasury invoice swap spread / 100).

FIXED RATE DAY COUNT

30/360

FLOATING RATE PAYMENT DATESAll quarterly period dates made with reference to Termination Date, within interval startingwith (and excluding) Effective Date and ending with (and including) Termination Date.

FLOATING RATE OPTION

USD-SOFR-COMPOUNDFLOATING RATE DESIGNATED MATURITY

AnnualFLOATING RATE DAY COUNT

Actual/360

FLOATING RATE SPREAD

None

COMPOUNDING

None

INITIAL FLOATING RATE PAYMENTa. Set by linear interpolation, on the basis of actual/360 day count, with respect to New Yorkand London Business Days subject to Modified Following Business Day Convention,b. Applied to two (2) USD-SOFR-COMPOUND values for notional settlement on Effective Date,c. Where one such USD-SOFR-COMPOUND value is for the standardized DesignatedMaturity date next preceding the date of the Initial Floating Rate Payment, and the othersuch USD-SOFR-COMPOUND value is for the standardized Designated Maturity date
next following the date of the Initial Floating Rate Payment.
Interpolation typically will be applied to pairs of USD-SOFR-COMPOUND values for
Designated Maturities of two (2) months and three (3) months, or of one (1) month and two(2) months, or of one (1) week and one (1) month.

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