Trade swap spreads with futures

Trading swap spreads with Eris SOFR swap futures and Treasury futures as CME Globex inter-commodity spreads unlocks the benefits of liquid, anonymous, electronic futures markets. Welcome to Eris/Treasury Swap Spreads.

Overview & Top Benefits

Click-to-trade swap spreads

Available in tenors of two-, five-, seven- and 10-years, Eris/Treasury Swap Spreads offer single price negotiation in a central limit order book, with trades resulting in specific positions in each of the underlying futures contracts (Eris SOFR Swap futures and Treasury futures).

Spread Basics: Contract Specifications

Continuous, transparent electronic markets

Markets for Eris/Treasury Swap Spreads are viewable on Bloomberg, Eris Innovations’ website, CME Direct and elsewhere. Prices are shown as “net change change on day,” such that a trade at zero (0.0000) results in each leg trading at its respective previous day settlement price. Market data on the Bloomberg Launchpad and Eris website include conversion of price to yield.

How to view markets

Headline & Invoice Spreads using Futures

Like Headline Spreads and Invoice Spreads, Eris/Treasury Swap Spreads allow users to express a view on the market for swaps over treasuries. By uniquely utilizing electronically-executable futures for both legs of the swap spread trade, they allow market participants superior balance sheet efficiency and operational ease.

Compare to other swap spreads

Liquid markets linked with implied pricing

Eris/Treasury Swap Spreads benefit from CME Globex Price Implication functionality, which links Eris SOFR and Treasury futures markets to imply Eris/Treasury Swap Spread prices, and also implies outright orders in Eris SOFR and Treasury futures order books from quoted Eris/Treasury Swap Spread markets.

How implied prices maximize liquidity

Lower fees than swap market

Dealers hedging swaps with CME Group futures can save up to 66% on fees for five-, seven- and 10-Year Eris/Treasury Swap Spreads, compared with traditional swap spreads on swap market venues.

Use Case: Dealers hedges swaps electronically

Anonymous execution,

no RFQ needed

Hedge funds, asset managers or other spread traders can use Eris/Treasury Swap Spreads to express a view on swap spreads without any information leakage or leaving footprints in the market

Use Case: Trader takes a view on swap spreads

Switch and roll in single trade

In addition to lead month contracts, Eris/Treasury Swap Spreads are also available in switch-and-roll combinations (e.g., this quarter’s Treasury futures vs. next quarter’s Eris SOFR), allowing users to switch between Treasury futures and Eris SOFR while simultaneously rolling to the next quarterly contract.

Use Case: PM switches to swaps during treasury roll

Disclaimer: The information contained herein does not constitute a prospectus, nor is it a recommendation to buy, sell or retain any specific financial instrument or security. The information has been provided to you for informational purposes only and is intended as a broad overview of certain aspects Eris swap futures products, and should not be considered as investment advice, legal advice, or tax advice. Although all effort has been made to provide accurate information Eris Innovations assumes no responsibility for any errors or omissions. Trademarks of Eris Innovations and/or its affiliates include Eris, Eris Innovations, Eris PAI, Eris Methodology, Eris Pricing Engine and the Eris Logo. All other trademarks, service marks, trade names, product names and logos are the property of their respective owners. Certain elements of the contract design and pricing construct are covered by U.S. Patent No. 9,747,641. Other patents-pending. All Rights Reserved.