Treasury Invoice Spread Blocks - Account Split

The Treasury Invoice Spread Blocks feature allows users who want to submit an invoice spread swap to select an account per leg of the transaction, i.e., submit a Futures leg to their Futures account and a Swap to their Swap account.

In doing so, CME Direct allows for an account assignment rather than quantity distributions.

Trade Types

Treasury Invoice Spread Blocks on CMED are submitted as trade types SWPBLK or SWPBLKSP. The trade type determines the message format.

Accounts

Treasury Invoice Spread Blocks deals allow for the allocation of multiple leg level accounts. Use the allocations icon in the Add Deal window to define the accounts. CMED displays a notification when the allocation of different accounts is required.

When different accounts are required, selecting the allocation icon opens an Add Account Assignments window from which accounts can be assigned at the leg level.

Once completed, the Add Deal window identifies that there are multiple accounts.

Note: A red X displays for accounts that have yet to be set.

Pre-Confirm and Deal Ticket

The Pre-Confirm and Deal Ticket displays the Buy and Sell Clearing accounts for each leg.

Note: For certain deals (e.g.involving Tenor Switch), four legs may display.

The Buyer and Seller Account fields in the Order & Trades view follow deal allocation and displays the number of Clearing Accounts.