Invoice Swap Spread Trading Up 35%

Invoice Swap Spread Trading Up 35%

Increased volume, improved execution flexibility and new capital savings

Invoice Swap Spreads using CBOT Treasury futures provide customers with a flexible, off-balance-sheet alternative to spreading swaps versus cash treasuries.

Product Highlights:

  • Growing customer interest, with $5.8 billion notional (58K contracts) traded daily in H2 2016 as Exchange for Risk (EFR) transactions, up 35% versus H1 2016
  • Flexible execution, including the recent amendment to Rule 538, which enables combinations of invoice spreads like tenor switches and calendar rolls to be executed as a single package and submitted as an EFR
  • Portfolio margining of Treasury futures (now including Ultra 10-Year futures) and CME cleared swaps, with margin savings of up to 80%

Learn how you can replicate swap spreads with Treasury futures in this brief video.