RV Curve has evolved trading in U.S. Treasury benchmark spreads and delivered significant savings to clients through three main value propositions:
- Execute curve spreads without legging risk on BrokerTec's CLOB, the single largest source of liquidity in the cash Treasury market with $116 billion ADV in 2022
- Access inside markets and reduce trade costs on spread packages versus executing individual legs in the CLOB
- Realize improved fills when trading with implied orders in the spreads, which saved clients over $8 per million in 2022
This last aspect that we call "excess efficiencies" is perhaps the most overlooked, but is a consistent driver of value for clients using RV Curve.
What are excess efficiencies?
By trading in a yield format, RV Curve spread orders that match with implied orders are frequently done at prices better than the original spread order due to rounding. This creates an excess efficiency, which is allocated 100% to the RV order.
Based on empirical analysis of the $460 billion in volume transacted in RV Curve in 2022, these excess efficiencies saved clients $8 per million on average, equating to over $3.8 million in aggregate.
Reach out to your account representative to get onboarding started for RV Curve and unlock these savings for your account.
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
