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Treasury and swap futures combo floated 

October 9, 2015

Mike Kentz, IFR

A group of industry players have floated two new rate futures products that aim to solve problems with existing Treasury futures products and reduce reliance on over-the-counter liquidity.

Acceptance and listing of the products would put them squarely in competition with a host of recently launched hybrid swap futures offered by major derivatives exchanges, as well as a handful still being planned.  

The contracts, dubbed Treasury Interest Rate Risk Futures and Swap Interest Rate Risk Futures are being hawked by a former NYSE Liffe product head now running his own company, Next Level Derivatives.

The TIRRF product, which physically settles into quarterly Treasury auctions, aims to provide more precise exposure to US government bond yields in lieu of popular CME Treasury futures contracts that Next Level says are harried by a host of design flaws.

The cash-settled SIRRF would be more akin to a hybrid swap future, closing off a spread to the corresponding TIRRF, providing a lower margin cost alternative to OTC swaps and creating invoice spread opportunities in tandem with the TIRRF. 

Read more: IFR

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