Packaged trades between Treasury futures and related forward-starting interest rate swaps.
Invoice Swap Spread trading typically involves buying (selling) a Treasury Future and paying (receiving) fixed on a related interest rate swap with a similar risk profile. This spread trade represents the difference between forward yields on Treasury Futures, and the fixed rate on comparable interest rate swaps.
Privately negotiated off-exchange transactions, with the treasury futures leg submitted to CME Clearing as an EFR transaction under Rule 538, and the swap leg processed independently.
Modifications to Rule 538 enable packages of multiple invoice spreads to be traded in the same manner.
Invoice Spreads can be traded on the CBOT designated contract market as an intercommodity spread between the Treasury future and a listed Interest Rate Swap.
New product extensions expand spread types and access to the 10-year point: