Efficiently transfer risk from one U.S. Treasury security to another.

Coupon Rolls are a type of Combination Trade introduced by Nasdaq Fixed Income that allow market participants to buy and sell two different instruments at an agreed upon spread. They are quoted using an industry accepted protocol, Yield Spread Differential, also known as “Yield Diff” or “Pick/Give”.


Coupon Rolls mitigate bid/offer and directional risk.

Trade execution and market data via an API.

Provides a new low-cost electronic roll solution.


The Leg represents the notional traded volume of Roll trade, typically the most recently announced issue.

The Reference Leg is typically the most liquid and transparent (i.e. Benchmark), this is the secondary instrument of the combination trade, providing offset for risk against the primary Leg instrument of the roll.

The Synthetic Leg
defines the Roll trade by describing the yield spread value (delta) that exists between the Leg yield and the Reference Leg yield.



The U.S. treasury announces a new 5-Yr Note (When-Issued (WI) 5-Yr). This new 5-Yr instrument becomes the “Leg” of the Roll.

  • Nasdaq Fixed Income creates a When-Issued 5-Yr Note (Leg) and the associated 5-Yr Roll, which is made up of the current 5-Yr Benchmark and the WI 5-Yr just announced. This Roll is displayed in the Nasdaq Fixed Income GUI and API as the WI 5YR and 5YR_Roll: usg+05Y/05Y.
  • The 5Y_Roll created is considered the Synthetic Leg, representing the combination trade between the Active 5Yr and the newly-announced WI 5-Yr.
  • The newly announced WI 5-Yr will trade stand-alone on a yield basis for the duration of its WI period which is typically 3-4 days prior to auction.
  • The yield spread differential between the WI 5-Yr and the Active 5-Yr Note is how the Roll is quoted.
Coupon Roll Quoting

When Rolls trade, there is a passive side and an aggressive side to the trade. Passive and aggressive traders are interested mostly in buying and selling the Leg.