Asset Class Navigation

12-year Eris Swap Margins

Exchange Asset Class Spread Products Type Ratio Side Start Period End Period Credit
CBT INTEREST RATES LII - 12-YEAR ERIS SWAP FUTURES Delta 1 B All dates 80%
N1U - 10-YEAR USD MAC SWAP FUTURES 1 A All dates
CBT INTEREST RATES LII - 12-YEAR ERIS SWAP FUTURES Delta 2 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 3 A 12/2019 06/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 80%
LII - 12-YEAR ERIS SWAP FUTURES 1 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 80%
LII - 12-YEAR ERIS SWAP FUTURES 1 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 3 A 12/2023 09/2024 80%
CBT LII - 12-YEAR ERIS SWAP FUTURES 1 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 3 A 12/2025 09/2026 80%
CBT LII - 12-YEAR ERIS SWAP FUTURES 1 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 3 A 12/2024 09/2025 80%
CBT LII - 12-YEAR ERIS SWAP FUTURES 1 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 3 A 12/2026 09/2027 80%
CBT LII - 12-YEAR ERIS SWAP FUTURES 1 B All dates
CBT INTEREST RATES E1U - 20-YEAR USD MAC SWAP FUTURES Delta 1 A All dates 75%
LII - 12-YEAR ERIS SWAP FUTURES 2 B All dates
CBT INTEREST RATES LII - 12-YEAR ERIS SWAP FUTURES Delta 2 B All dates 75%
S1U - 7-YEAR USD MAC SWAP FUTURES 3 A All dates
CBT INTEREST RATES LII - 12-YEAR ERIS SWAP FUTURES Delta 2 A All dates 75%
LIY - 10-YEAR ERIS SWAP FUTURES 3 B 12/2012 03/2013
CBT INTEREST RATES LIE - 30-YEAR ERIS SWAP FUTURES Delta 1 B All dates 70%
LII - 12-YEAR ERIS SWAP FUTURES 3 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 70%
LII - 12-YEAR ERIS SWAP FUTURES 2 B All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 A All dates 70%
LII - 12-YEAR ERIS SWAP FUTURES 1 B All dates
CBT INTEREST RATES B1U - 30-YEAR USD MAC SWAP FUTURES Delta 3 A All dates 60%
LII - 12-YEAR ERIS SWAP FUTURES 5 B All dates
CBT INTEREST RATES LII - 12-YEAR ERIS SWAP FUTURES Delta 10 B All dates 60%
UBE - LONG TERM U.S. TREASURY BOND FUTURE 3 A All dates
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 3 A All dates 60%
LII - 12-YEAR ERIS SWAP FUTURES 2 B All dates