FAQ: Trading at settlement (TAS) for US Treasury futures

TAS functionality allows market participants to enter a trade at a spread to the yet-to-be-determined daily settlement price calculated at 3 p.m. ET, for subsequent clearing into the existing products. TAS enables clients to achieve execution at or near the settlement price, making it particularly useful when replicating an index.

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Eligible products: 2-Year (ZT), 5-Year (ZF), 10-Year (ZN), Ultra 10-Year (TN), T-Bond (ZB), Ultra T-Bond (UB)

Eligible contracts: Front month and calendar spreads during roll

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The minimum tick size is aligned with the underlying instruments. For example, 10-Year Note TAS trades in 0.5/32^nd for outright transactions and 0.25/32^nd for spread transactions.

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All Treasury TAS markets match 100% FIFO.

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Please refer to the Globex Product Reference Sheet here. The MOQ is also identified in the Security Definition (tag 35-MsgType=d) message in tag 1140-MaxTradeVol. At launch, the MOQ is 4,999 for outrights and tag 1140-MaxTradeVol=9999 for spreads.

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For additional details, please refer to the Globex notice and SER.

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