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BrokerTec Gateway Documentation

Treasury Auctions


When the exchange announces a treasury auction, trading in a virtual (When Issued-WI) contract takes place in the secondary market until the actual auction. On the day of the auction, the WI contract ceases to exist and the new issue becomes the On-The-Run contract. The previous On-The-Run contact becomes an Off-The-Run contract.


BrokerTec Gateways connect to the exchange environment that lists When-Issued (WI) and On-The-Run contracts. The exchange does not provide Off-The-Run contracts in this environment. Therefore, Off-The-Run contracts are not available in the TT trading system.

In addition, open positions on the When-Issues contract are not transferred to the On-The-Run contract. Following a new bond auction, the previous On-The-Run contract, now labeled as Off-The-Run, ceases to exist and is replaced by the new On-The-Run contact in TT system.

The new On-The-Run contract uses the same TT seriesKey and appears with the same contract name as the previous On-The-Run contract, but with a different Expiration Date.