Eris Swap Futures


  • Eris Swap Futures combine the best of swaps and futures by replicating the economics of a traditional OTC swap, but traded as a listed futures contract, cleared at CME Clearing.

    • Capital and margin efficient product framework, providing a transparent, anonymous alternative to OTC swap trading

    • Daily cash-settled variation margin, offsetting all the cash flows of an OTC swap

    • Non deliverable, optional quarterly roll - remains a CME cleared futures contract for the life; for example, the March 2018 Eris 5Y contract will expire in March, 2023

     

     

    Use the award winning Live Eris Swap Curve as your bechmark USD interest rate swap curve.


  • Contract Overview:

    • Eris Swap Futures contracts mirror plain vanilla MAC swaps

    • Contract Size: $100,000 notional

    • Pre-determined fixed coupons vs. 3M LIBOR

    • Underlying Tenors: 2Y, 3Y, 4Y, 5Y, 7Y, 10Y, 12Y, 15Y, 20Y, 30Y

    • Effective Dates: Quarterly IMM start dates, going out 10 years. Standard OTC rolls/conventions

    • Trading Hours: 7:00am – 5:00pm EST, contracts settle daily at 3pm EST

     

    Eris Swap Futures Contracts:

    • Primary Standards - Flagship contract, fixed, standardized coupons that match OTC MAC (Market Agreed Coupon) Swaps

    • Ultra Forwards - Forward starting swap futures, quarterly IMM effective dates as far out as 10 years

    • Invoice Swap Futures - Coupons and maturity dates match the first two cheapest-to-deliver (CTD) Treasury bonds in the deliverable basket of corresponding Treasury futures contracts

    • Flexes - Fully customized swap future contract, each rate and date is a distinct contract

     

     


     

    Resources:


  • Eris MethodologyTM: Proprietary design replicates OTC swap economics.

     


    A
    Swap NPV
    • Eris is traded/negotiated on price A, per $100k notional
    • Equivalent to NPV of an analogous OTC swap (OIS discounted)
    • Only element that changes continuously throughout trading day
    • Daily settlement of A is based on the Eris Swap Curve, and is anchored to the live order books
    B
    Historical Fixed
    & Floating
    Amounts
    • Past accrued fixed and floating amounts since contract inception
    • Changes every 3 months, beginning 3 months after the Effective Date, as time passes through implied swap payment dates
    • May be positive or negative (recieve or pay)
    C
    Eris PAITM
    • Analogous to interest on collateral of an OTC swap with a $0 threshold CSA
    • Synthetic interest on variation margin, accrues daily at the overnight Fed Funds rate
    • Calculated once per day, prior to market open for the trading day
    100
    Index Price
    • Indexing price to 100
    Eris
    Futures
    Price
    Settlement Value
    • Eris Futures price represents the 'All-In' settlement price


 

Additional Information

 Product Summary

 Product Reference Guide