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See Live Eris Swap Futures and Invoice Spreads: www.erisfutures.com
The Most Efficient Way to Trade Invoice Spreads: 10 Year Treasury Futures vs. Eris 7 Year Standards
Traditional OTC Invoice Spreads will soon be more expensive
and difficult to trade due to Dodd-Frank regulatory changes
Benefits of Eris Invoice Spreads
• Autospreading through Trading Technologies (TT), RTS and the free Eris SwapBook GUI
• CLOBs allow market participants to work inside the best bid /ask for both legs
• 2 day VaR margin (SPAN)
• Significant margin offsets and automatic position netting
• Traditional futures agency execution brokers can work both sides of the client order
• Streaming two way prices facilitate efficient unwinds
Legs of 10Y Eris Invoice Spread
Implied Invoice Spread
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• Capital Efficient: Reduce Initial Margin by 83% by replacing
the LIBOR leg of a 10 year Invoice Spread with a 7 Year Eris
Standard Swap Future
• Matching Duration: 10 year CTD tenor has averaged 6.8
years over the past 10 years
• Screen Liquidity: Streaming bids & offers in the 7 Year Eris
Standard increase transparency and reduce execution cost
• Auto-Spreading: ISV Auto spreading tools available between
live and actionable CLOB markets, not available with SEFs
• Block Trading: $10mm minimum notional for Eris 7Y Stnd in
regular trading hrs. (RTH), $500k for other trading hrs. (OTH)
• Trading Hours: http://www.erisfutures.com/trading-hours-and-holidays
• Agency Execution: Work client trades for expert execution
between 2 CLOBs
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The Most Efficient Way to Trade Invoice Spreads: 10 Year Treasury Futures vs. Eris 7 Year Standards
TT Autospreader®
Eris Invoice Spread OTC Invoice Spread
Treasury Futures Leg 10 Year CBOT (TY) 10 Year CBOT (TY)
LIBOR Leg Eris 7Y Stnd Cleared OTC Swap (LCH)(1)
Margin Offsets Yes No
Position Size $100k of DV01 per side $100k of DV01 per side
Total Initial Margin(2)
$1.2 mm $6.2mm
(1) Par swap with dates that match TY Cheapest-to-Deliver (‘CTD’)
(2) Assumes short TY position and offsetting LIBOR Leg. Source, CME and LCH (as observed via Bloomberg) as of 7/29/15
$1.2mm $6.2mm
© 2017 All rights reserved 01032017
www.erisfutures.com Contact Eris to get started: Call (888) 587-2699 option 2
for sales support or email [email protected]
View All Contract Details:
erisfutures.com/lookup
