Asset Class Navigation

20-year Eris Swap Margins

Exchange Asset Class Spread Products Type Ratio Side Start Period End Period Credit
CBT INTEREST RATES B1U - 30-YEAR USD MAC SWAP FUTURES Delta 2 A All dates 75%
LIO - 20-YEAR ERIS SWAP FUTURES 3 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 4 A 12/2026 09/2027 75%
CBT LIO - 20-YEAR ERIS SWAP FUTURES 1 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 4 A 12/2027 09/2028 75%
CBT LIO - 20-YEAR ERIS SWAP FUTURES 1 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 4 A 12/2028 09/2029 75%
CBT LIO - 20-YEAR ERIS SWAP FUTURES 1 B All dates
CBT INTEREST RATES LIO - 20-YEAR ERIS SWAP FUTURES Delta 5 B All dates 70%
UBE - LONG TERM U.S. TREASURY BOND FUTURE 2 A All dates
CBT INTEREST RATES LIO - 20-YEAR ERIS SWAP FUTURES Delta 5 B All dates 70%
UBE - LONG TERM U.S. TREASURY BOND FUTURE 2 A All dates
CBT INTEREST RATES LIO - 20-YEAR ERIS SWAP FUTURES Delta 1 B All dates 70%
TN - ULTRA 10-YEAR U S TREASURY NOTE FUT 1 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 3 A All dates 70%
LIO - 20-YEAR ERIS SWAP FUTURES 2 B All dates
CBT INTEREST RATES LIO - 20-YEAR ERIS SWAP FUTURES Delta 1 B 03/2019 06/2020 65%
LIY - 10-YEAR ERIS SWAP FUTURES 2 A 03/2019 06/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 5 A All dates 65%
LIO - 20-YEAR ERIS SWAP FUTURES 2 B All dates
CBT INTEREST RATES LIO - 20-YEAR ERIS SWAP FUTURES Delta 1 B All dates 60%
N1U - 10-YEAR USD MAC SWAP FUTURES 2 A All dates
CBT INTEREST RATES LIO - 20-YEAR ERIS SWAP FUTURES Delta 1 B 03/2016 12/2018 60%
LIY - 10-YEAR ERIS SWAP FUTURES 2 A 12/2012 12/2018
CBT INTEREST RATES LIO - 20-YEAR ERIS SWAP FUTURES Delta 1 B All dates 55%
S1U - 7-YEAR USD MAC SWAP FUTURES 3 A All dates
CBT INTEREST RATES E1U - 20-YEAR USD MAC SWAP FUTURES Delta 1 A All dates 90%
LIO - 20-YEAR ERIS SWAP FUTURES 1 B 03/2016 12/2018
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 4 A All dates 50%
LIO - 20-YEAR ERIS SWAP FUTURES 1 B All dates
CBT INTEREST RATES E1U - 20-YEAR USD MAC SWAP FUTURES Delta 1 B All dates 95%
LIO - 20-YEAR ERIS SWAP FUTURES 1 A 03/2019 06/2020