Eris Swap Futures Inter-Commodity Spreads

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).