Figure 1: Swap Spread Performance

Figure 1: Swap Spreads
Performance of three forms of 10-Year Swap Spreads–Headline Spreads, Invoice Spreads, and Eris/Treasury Swap Spreads, sourced from Bloomberg and BMLL data and converted to yield. Eris/Treasury Swap Spreads data is calculated by subtracting yield of front-month treasury futures from yield of front-month Eris SOFR. Recent data for this and other tenors are available on the Eris Innovations web site here.

Figure 2: Swap Spread Comparison


Overview and Top Benefits of Eris/Treasury Swap Spreads


Spread Basics: Contract Specifications

Figure 3: Contract Specifications


Eris SOFR Swap futures: Liquid futures for benchmark tenors of SOFR swaps

Figure 4: Eris SOFR Volume & Open Interest

Eris SOFR Volume and Open Interest
Source: CME Group and Eris Innovations

How to view markets for Eris/Treasury Swap Spreads

Figure 5: How to view markets for Eris/Treasury Swap Spreads

Figure 5: Swap spreads
Customized Bloomberg launchpad for Eris/Treasury Swap Spreads, created by Eris Innovations. Please follow the directions on erisfutures.com/bloomberg to request it be shared with you via the Bloomberg Terminal.

Comparison to Headline Spreads and Invoice Spreads

Figure 6: Swap Spread Comparison


How implied prices maximize liquidity

Figure 7: “Implied In” vs. “Implied Out” prices

Figure 7: "Implied In" vs. "Implied Out" prices

Use Case 1: Spread trader takes a view on swap spreads simply, anonymously and margin-efficiently


Use Case 2: Dealer hedges CME Group interest rate swaps electronically, with lower fees


Use Case 3: Portfolio Manager switches to swaps during the quarterly roll using a single spread trade, lowering execution cost