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Getting Started: Clearing

 >> Eris Exchange: Getting Started Clearing

This is a step-by-step outline to start clearing Eris Exchange products. The comprehensive outline suggests activities which firms have completed, but are not all required to become an Eris Exchange Clearing Participant. All PDFs referred to below can be found at the following URL: http://www.erisfutures.com/resources

I. Introduction to Eris Exchange

  1. Contact Sales at 888-587-2699, option 3 or email sales@erisfutures.comto discuss the offering and the Eris Exchange Overview presentation [PDF]

 

II. Review Product Discussion Materials

  1. Eris Exchange Benchmark Contracts [PDF] highlights features of the benchmark spot and forward starting contracts
  2. Product Comparison of Eris Exchange Futures and OTC Swaps[PDF] demonstrates that resulting net cash flows are equivalent on Eris Exchange contracts and collateralized OTC swaps, despite the different gross cash flows associated with periodic fixed and floating amounts
  3. Detailed Product Contract Specifications [PDF] outlines detailed characteristics of an Eris Exchange contract
  4. Eris Exchange Product White Paper [PDF] this white paper explains the mathematics which are applied to determine settlement values
    1. Discuss Eris Exchange ticker symbol convention

 

III. Demos of Eris SwapBook and Eris BlockBox

  1. Eris Exchange Client Services Group (CSG) can set up access to Eris SwapBook and Eris BlockBox demo environment
    1. Clients can utilize Eris SwapBook, the front-end electronic trading platform to:
      1. Execute and unwind test trades
      2. Observe the markets without risk of executing in the live environment
      3. Back test the data
    2. Clients can utilize Eris BlockBox, a web interface used to report the following pre-negotiated trade types: Block Trades, Exchange for Risk (EFR), and Exchange for Physicals (EFP)

 

IV. Risk Controls Discussion

  1. Review Eris Exchange Risk Calculation and Implementation Information [PDF]

 

V. Clearing Firm Registration with Eris Exchange*

  1. Clearing Firm executes the 2 required agreements located at https://www.erisfutures.com/on-boarding-clearingfirms
    1. Eris Exchange Clearing Firm Agreement
    2. Eris Exchange Clearing Firm ID Request Form
  2. Agreements are reviewed and approved by Eris Exchange General Counsel
  3. Eris Control Center (ECC) sends email notification to the Clearing Firm contact to confirm approval or highlight additional information
  4. Assigning of Eris Exchange CME Clearing Firm Number to Clearing Firm
    1. ECC contacts CME Clearing and sets up Eris Exchange CME Firm Number
    2. ECC communicates Eris Exchange CME Firm Number to Clearing Firm

 

VI. Clearing Firm Configures Back Office and Bookkeeping Systems*

  1. Clearing Firms work with their back office system to accommodate Eris Exchange products
    1. Please contact the ECC for assistance and supporting documentation for the setup process

 

VII. Completion of Trade Messaging Flow through Testing*

  1. Ensure that the Clearing Firm back office has the correct systems and processes in place to receive and report Eris Exchange trade notifications. ECC schedules time with CME Clearing and Clearing Firm to perform trade messaging test
    1. ECC generates a test trade(s) with the Clearing Firm’s CME Firm Number and sends trade notification to CME Clearing to upload test trade into CME Clearing systems
    2. Clearing Firm retrieves the test trade from  CME via their back office system
    3. Clearing Firm verifies successful file receipt of the trade(s)
    4. Clearing Firm verifies test trade(s) details the next day on the test clearing statement

 

VIII. Completion of HVaR Margin Processing and Testing*

  1. Eris Exchange products utilize the Historical Value at Risk (HVaR) margin methodology, which provides significantly enhanced treatment for portfolios of Eris Interest Rate Swap Future positions
  2. Review the Eris Exchange Margin Process Overview [PDF]; In making the transition to the CME Clearing HVaR margin methodology, it is now required that the FCM implement the process described in the guide
    1. The ECC will work with the Clearing Firm and CME to test and implement the described processes

 

IX. Large Position Reporting Process and Setup*

  1. Clearing Firms are required to report large positions to Eris Exchange
    1. The ECC will contact the Clearing Firm and provide the login credentials to an Eris Exchange sFTP folder
    2. Clearing Firm will place their Large Position File, where applicable, by 7 AM CT
    3. Eris Exchange will retrieve Large Position Reporting file for processing

 

X. Completion of Settlement File Testing*

  1. Eris Exchange publishes the end of day settlement file to a public FTP site on a daily basis
  2. Address: ftp://ftp.erisfutures.com
    1. Login: anonymous
    2. Password: anonymous
  3. Clearing Firm verifies it can access end of day settlement files by stating settlement price of instrument chosen by ECC
  4. List of end of day files:
    1. Beginning and End of Day Pricing Files [XLS]
    2. Eris Exchange Curve File [XLS]
    3. Eris Exchange LIBOR and OIS Discount Factor Files [XLS]
    4. Eris Exchange Swap Leg Price File [XLS]

 

(* Denotes Required Steps)

This completes the certification process for a Clearing Firm. If you have any questions please contact the Eris Control Center (ECC) at 888-587-2699, option 1 or email ErisControlCenter@erisfutures.com