Inter-commodity spreads eliminate leg risk that could occur when trading these positions separately in the constituent outright markets. There are two types of ICS involving Eris SOFR swap futures:

1. ICS between Eris swap futures contracts of different tenors, which allow market participants to efficiently execute Eris curve trades (e.g., 5-Year Eris SOFR vs. 10-Year Eris SOFR)
2. ICS between Eris swap futures and U.S. Treasury futures, which allow market participants to efficiently execute a futurized version of an invoice swap spread (e.g., 5-Year Eris SOFR vs. 5-Year U.S. T-Note Futures).

These spreads are listed on the nearby on-the-run Eris contracts (i.e., the contracts nearest to their named contract month). As such, the first trade date for quarterly listings is the quarterly IMM date preceding the contract’s reference month (for example, the ICS for the Mar. 2024 Eris contracts start trading on the December 2023 IMM date, i.e., 12/20/2023), and the last trading date is the business day before the IMM date of the contract’s reference month (for example, the ICS for the Mar. 2024 Eris contracts, the last trading day would be the day before the March IMM date, i.e., 3/19/2023). ICS between Eris swap futures and Treasury futures are also listed on the nearby Treasury futures contracts such that the contract months for each leg match, as well as between the nearby Eris swap futures and the deferred Treasury futures (for example, Mar’24 Eris vs. Jun’24 USTs, which will be relevant for the first half of March).

*Leg quantity and price ratios are subject to change, except for ETU, EWV, EBN, and EYT.

For ICS between Eris swap futures contracts of different tenors, spread ratios are calculated and fixed on a quarterly basis using the DV01 of the respective spread legs. DV01 values are pulled from Eris settlement files, and leg quantities are weighted such that DV01 is approximately equal on both sides of the spread. These ratios are published approximately 2-3 weeks before the spreads are listed (e.g. September Eris ICS ratios would be published in mid-August).

The spread ratios related to spreads between Eris swap futures and Treasury futures are 1:1 and are permanently fixed.

Eris ICS are quoted using Net Change on Day convention, whereby prices reference the previous day’s settlement. As such, quotes are based on the following:

The minimum price increment (MPI) for ICS involving two Eris legs are equal to the least common multiple of the On-the-Run minimum ticks.

For Eris/Treasury ICS, the MPI is equal to 0.005 or $5.00 for EWV and 0.010 or $10.00 for EBN and EYT.

All Eris ICS trades will use a 100% FIFO Matching Algorithm.

Good Until Canceled (GTC) and Good Until Date (GTD) orders are not eligible for these instruments, due to the Net Change on Day pricing convention. All other order types are acceptable.

Margin offsets available of up to 75% on Eris curve spread trades, depending on the tenors involved, and 85% on Eris vs. Treasury spread trades. As margin offsets are subject to change, view the latest levels on the CME margin requirements webpage.

About Swap Futures

Swap futures offer interest rate swap exposure with the margin efficiency, simplicity and safety of a standardized futures contract.