- 6 Mar 2023
- By CME Group
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 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 $3.8 million in aggregate.
RV Curve 2022 Excess Efficiency Savings by Pair
| Pair | ADV ($mm) | Daily Spreads | Savings / $mm | Savings / Spread |
|---|---|---|---|---|
| 10Y/30Y | 277 | 92 | $14.87 | $44.78 |
| 3Y/5Y | 303 | 59 | $4.85 | $25.04 |
| 2Y/3Y | 271 | 54 | $3.09 | $15.49 |
| 5Y/10Y | 157 | 52 | $9.71 | $29.26 |
| 7Y/10Y | 169 | 33 | $8.84 | $45.05 |
| 5Y/7Y | 147 | 29 | $8.80 | $45.19 |
| 10Y/20Y | 84 | 27 | $16.24 | $50.61 |
| 2Y/5Y | 142 | 20 | $3.59 | $25.22 |
| 5Y/30Y | 93 | 18 | $8.09 | $40.59 |
| 2Y/10Y | 78 | 13 | $6.11 | $36.51 |
| Other | 136 | 34 | $13.93 | $39.13 |
| Total | $1,857 | 431 | $8.17 | $35.19 |
Reach out to your account representative to get onboarding started for RV Curve and unlock these savings for your account.
Later this year, BrokerTec will launch the next generation of BrokerTec Stream, our relationship-based streaming service for U.S. Treasury markets.
Stream 2.0 will bring significantly enhanced processing times, faster market data, and a host of important updates to the platform. Make sure you are ready for all the new features by participating in the full end-to-end testing for API and GFE including STP.
Data as of February 28, 2023 unless otherwise specified
*Pending regulatory review
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