Exchange | Asset Class | Spread Products | Type | Ratio | Side | Start Period | End Period | Credit |
---|---|---|---|---|---|---|---|---|
CBT | INTEREST RATES | E1U - 20-YEAR USD MAC SWAP FUTURES | Delta | 3 | A | All dates | 75% | |
LIE - 30-YEAR ERIS SWAP FUTURES | 2 | B | All dates | |||||
CBT | INTEREST RATES | B1U - 30-YEAR USD MAC SWAP FUTURES | Delta | 1 | B | All dates | 75% | |
E1U - 20-YEAR USD MAC SWAP FUTURES | 1 | A | All dates | |||||
CBT | INTEREST RATES | E1U - 20-YEAR USD MAC SWAP FUTURES | Delta | 1 | A | All dates | 75% | |
LIL - 15-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 | E1U - 20-YEAR USD MAC SWAP FUTURES | Delta | 1 | A | All dates | 75% | |
N1U - 10-YEAR USD MAC SWAP FUTURES | 1 | B | 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 | 09/2015 | 06/2018 | ||||
CBT | INTEREST RATES | 17 - 30 YR U.S. TREASURY BOND FUTURES | Delta | 3 | B | All dates | 70% | |
E1U - 20-YEAR USD MAC SWAP FUTURES | 2 | A | All dates | |||||
CBT | INTEREST RATES | E1U - 20-YEAR USD MAC SWAP FUTURES | Delta | 1 | B | All dates | 70% | |
LIY - 10-YEAR ERIS SWAP FUTURES | 2 | A | All dates | |||||
CBT | INTEREST RATES | E1U - 20-YEAR USD MAC SWAP FUTURES | Delta | 1 | A | All dates | 70% | |
LIY - 10-YEAR ERIS SWAP FUTURES | 2 | B | All dates | |||||
CBT | INTEREST RATES | E1U - 20-YEAR USD MAC SWAP FUTURES | Delta | 2 | A | All dates | 65% | |
UBE - LONG TERM U.S. TREASURY BOND FUTURE | 3 | B | All dates | |||||
CBT | INTEREST RATES | E1U - 20-YEAR USD MAC SWAP FUTURES | Delta | 5 | B | All dates | 65% | |
TN - ULTRA 10-YEAR U S TREASURY NOTE FUT | 4 | A | All dates | |||||
CBT | INTEREST RATES | 21 - 10Y TREASURY NOTE FUTURES | Delta | 5 | B | All dates | 65% | |
E1U - 20-YEAR USD MAC SWAP FUTURES | 4 | A | All dates | |||||
CBT | INTEREST RATES | E1U - 20-YEAR USD MAC SWAP FUTURES | Delta | 3 | A | All dates | 60% | |
LIB - 7-YEAR ERIS SWAP FUTURES | 2 | B | All dates | |||||
CBT | INTEREST RATES | 25 - 5 YR TREASURY NOTE FUTURES | Delta | 6 | B | All dates | 55% | |
E1U - 20-YEAR USD MAC SWAP FUTURES | 5 | A | All dates | |||||
CBT | INTEREST RATES | E1U - 20-YEAR USD MAC SWAP FUTURES | Delta | 2 | B | All dates | 55% | |
LIW - 5-YEAR ERIS SWAP FUTURES | 3 | A | All dates | |||||
CBT | INTEREST RATES | E1U - 20-YEAR USD MAC SWAP FUTURES | Delta | 1 | B | All dates | 50% | |
F1U - 5-YEAR USD MAC SWAP FUTURES | 2 | A | All dates | |||||
CBT | INTEREST RATES | E1U - 20-YEAR USD MAC SWAP FUTURES | Delta | 2 | A | All dates | 50% | |
CME | ED - EURODOLLAR FUTURES | 5 | B | 03/2030 | 12/2030 | |||
CBT | INTEREST RATES | E1U - 20-YEAR USD MAC SWAP FUTURES | Delta | 2 | A | All dates | 50% | |
CME | ED - EURODOLLAR FUTURES | 5 | B | 03/2027 | 12/2027 | |||
CBT | INTEREST RATES | E1U - 20-YEAR USD MAC SWAP FUTURES | Delta | 2 | A | All dates | 50% | |
CME | ED - EURODOLLAR FUTURES | 5 | A | 03/2029 | 12/2029 | |||
CBT | INTEREST RATES | E1U - 20-YEAR USD MAC SWAP FUTURES | Delta | 2 | A | All dates | 50% | |
CME | ED - EURODOLLAR FUTURES | 5 | B | 03/2028 | 12/2028 | |||
CBT | INTEREST RATES | E1U - 20-YEAR USD MAC SWAP FUTURES | Delta | 2 | A | All dates | 50% | |
CME | ED - EURODOLLAR FUTURES | 5 | B | 03/2026 | 12/2026 | |||
CBT | INTEREST RATES | E1U - 20-YEAR USD MAC SWAP FUTURES | Delta | 2 | A | All dates | 50% | |
CME | ED - EURODOLLAR FUTURES | 5 | B | 03/2025 | 12/2025 | |||
CBT | INTEREST RATES | E1U - 20-YEAR USD MAC SWAP FUTURES | Delta | 2 | A | All dates | 50% | |
CME | ED - EURODOLLAR FUTURES | 5 | B | 03/2024 | 12/2024 | |||
CBT | INTEREST RATES | E1U - 20-YEAR USD MAC SWAP FUTURES | Delta | 2 | A | All dates | 50% | |
CME | ED - EURODOLLAR FUTURES | 5 | B | 03/2023 | 12/2023 | |||
CBT | INTEREST RATES | E1U - 20-YEAR USD MAC SWAP FUTURES | Delta | 2 | A | All dates | 40% | |
CME | ED - EURODOLLAR FUTURES | 5 | B | 03/2022 | 12/2022 | |||
CBT | INTEREST RATES | E1U - 20-YEAR USD MAC SWAP FUTURES | Delta | 1 | B | All dates | 85% | |
YIO - 20-YEAR ERIS SOFR SWAP FUTURES | 1 | A | All dates | |||||
CBT | INTEREST RATES | E1S - 20-YEAR SOFR MAC SWAP FUTURES | Delta | 1 | A | All dates | 85% | |
E1U - 20-YEAR USD MAC SWAP FUTURES | 1 | B | All dates | |||||
CBT | INTEREST RATES | E1U - 20-YEAR USD MAC SWAP FUTURES | Delta | 1 | A | All dates | 25% | |
T1U - 2-YEAR USD MAC SWAP FUTURES | 1 | B | All dates | |||||
CBT | INTEREST RATES | E1U - 20-YEAR USD MAC SWAP FUTURES | Delta | 2 | A | All dates | 20% | |
CME | ED - EURODOLLAR FUTURES | 5 | B | 06/2021 | 12/2021 | |||
CBT | INTEREST RATES | E1U - 20-YEAR USD MAC SWAP FUTURES | Delta | 1 | B | All dates | 95% | |
LIO - 20-YEAR ERIS SWAP FUTURES | 1 | A | 09/2018 | 09/2021 |