BrokerTec Recap March 2023

  • 6 Mar 2023
  • By CME Group

$8 per million in savings: One of RV Curve's most overlooked features drives meaningful savings in 2022

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.

Full end-to-end testing for Stream underway

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

New volume record for €STR futures

Six of the top 10 trading days for €STR futures were seen in February, including four days with over 6,000 contracts traded. February volume more than doubled in January, underscoring the surging interest in €STR-linked futures in this uncertain environment.

Research and analysis

Four Key Questions on European Overnight Rates: The euro zone has two major overnight rates; the Euro-Short Term Rate (€STR) and the RepoFunds Rate (RFR). To better understand the nuances of these key rates, read our latest paper from Chris Farran.

Cash and Carry Strategy with RFRs: Learn about new trading and risk management opportunities unlocked by RepoFunds Rate (RFR) futures, including a cash and carry arbitrage strategy with real-world examples.

Interest rate equilibrium: EU vs. U.S.: Though both the ECB and the Fed have been quickly raising rates in their last few meetings, there is speculation as to when both of these central banks will pause in the future. Sr. Economist Erik Norland notes that we may soon see a divergence between Europe and the U.S. thanks to differing conditions between these two economies.

Tools and analytics

Follow shifts in the yield curve with CurveWatch: Stay up-to-date on yield curve trends with our popular Treasury Analytics tool, now featuring CurveWatch, a succinct view into benchmark yields and spread pairs over time.

CVOL: Calm before the storm?: Despite a recent uptick, the 10-year Treasury CVOL Index remains near a six-month low. As uncertainty builds for the Fed's near term path forward, use our CVOL tool to keep tabs on volatility levels for key Treasury benchmarks.