U.S. Treasury futures, options and cash

Futures vs. Futures (ICS)

Execute futures curve spreads in a single click

Inter-commodity spreads (ICS) are pre-defined spreads listed on CME Globex used to execute Treasury spread trades in a single transaction.

• Zero slippage
• Increased matching opportunities
• Reduced noise during volatile markets

Futures vs. Swaps (EFR)

Trade swap spreads more efficiently

Invoice swap spreads, or packaged trades between Treasury futures and a related interest rate swap, offer a more efficient alternative for trading swap spreads.

• Off-balance sheet exposure
• Precise alignment of dates between futures and swaps
• Up to 85% margin offsets when clearing both legs at CME

Futures vs. Cash (EFP)

Manage the Treasury basis

A U.S. Treasury basis trade represents the price differential, expressed in 1/32s, between U.S. Treasury futures and an underlying delivery eligible U.S. Treasury note or bond.

• Traded as a price spread, basis trades are privately negotiated and executed outside the CLOB.
• Move from cash-to-futures and futures-to-cash with less execution risk and market impact cost.
• Futures leg submitted to CME Clearing as an EFP (exchange-for-physical) transaction under Rule 538, cash leg processed through client’s security account.

Cash vs. Cash (RV Curve)

Spread cash bonds more cost-effectively and without legging risk

BrokerTec RV Curve delivers a single market to trade U.S. Treasury benchmark spread pairs and butterflies, bringing the efficiency of implied orders to cash bonds.

• Reduced legging risk
• Inside liquidity (1/10 ^th of a bp ticks)
• Excess efficiencies -- Implied orders are likely to incur additional yield as a result of rounding, saving that is 100% allocated to the RV order.