Goal
Substituting Eris as the LIBOR swap leg of a spread trade vs CBOT US Treasury futures allows users to position for widening or tightening in spreads
Benefits of Eris
Immediate futures vs futures portfolio margin offsets within CME Group, for a more capital efficient trade
Streaming bids and offers in Central Limit Order Books for both legs provides for simple electronic execution using auto-spreaders, algos and other functions not available in OTC
Examples
Buy 10y UST future and sell 7y Eris (spread widener), 5y UST future vs 4y Eris, or 10y Ultra UST vs 10y Eris - similar duration to CTD Treasury
