News, Insights & Events

March is the largest volume month ever for Eris swap futures after the derivatives were migrated to CME Group at the end of last year. By Hayley McDowell Swap futures volumes at Eris Exchange have surged following its recent migration of the derivatives to US exchange operator CME Group. Eris reported that average daily volume of its swap futures surpassed 10,500 contracts daily in March month-to-date, more than five times the average for 2018 and prior to the CME Group migration. Three-month trailing average of Eris average daily volumes is also over three times the average for 2018 before the migration of 6,000 contracts, with March already being the largest volume month on record for Eris swap futures. CME Group added USD Eris swaps futures to its multi-asset futures and options electronic trading platform Globex in December, with ten firms actively trading the products as part of a licensing agreement aimed at helping market participants trade swap risk more efficiently. The swap futures provide an alternative to traditional over-the-counter (OTC) interest rate swaps, offering margin offsets with CME’s suite of interest rate futures including treasury futures and euro dollar futures. Shortly after announcing plans to migrate the derivatives to CME, BlueCrest Capital Management and Virtu Financial joined Eris exchange as equity partners, with Virtu streaming two-sided electronic markets and BlueCrest trading Eris to manage interest rate risk, to grow volumes ahead of the transition. “We are pleased to offer our customers the ability to trade USD Eris Interest Rate Swap Futures here at CME Group,” said Agha Mirza, global head of interest rate products at CME Group, following the migration. “The innovative product design offers our customers another tool for capital-efficient risk management, with unparalleled global distribution to fixed income traders.” To view the full article, click here.

ftp://ftp.erisfutures.com/ Eris Innovations provides a number of resources on its ftp site, this guide will help navigate.  The individual files may require a user name and password. User name: "anonymous" Password: "anonymous" Single and Intraday Files: Current Prices, including PV01, DV01, Par Rate Equivalents File Name: Eris_Standards_Pricing_Intraday.csv Includes: Current theoretical mid prices for all contracts, NPV, par rate equivalent yield, PV01, DV01 Frequency: Intraday Find it here: Near the bottom of the list   Discount Factors File Name: Eris_Intraday_DiscountFactors_[Libor/OIS].csv Includes: Separate files for LIBOR and OIS discount factors going out 50y Frequency: Intraday Find it here: Near the bottom of the list   Historical Prices (in one time series) File Name: Eris_Historical_Prices_For_Standards.csv Includes: A time series of all historical prices for all contracts (including A, B, C components)  Frequency: A single file updated daily Find it here: About 2/3 of the way down the list   Live Eris Swap Curve Add-in File Name: ErisMarketsAddin.xlam Includes: This is the necessary add-in to allow other spreadsheets to be updated with live Eris curve data.  Visit Eris website for more info on download instructions Frequency: A single file Find it here: The second file in the list   Individual Daily Files: Cash Flow Analysis File Name: Eris_[yyyymmdd]_EOD_PricedSwapLegAnalysis_OIS.csv Includes: Calculated fixed and floating cash flows with period start and end dates, discount factors, etc for all Eris contracts Frequency: Daily Find it here: About 2/3 of the way down the list, using today's date   Discount Factors File Name: Eris_[yyyymmdd]_EOD_DisountFactors_[Libor/OIS].csv Includes: Individual LIBOR and OIS discount factors going out 50y Frequency: Daily Find it here: About 2/3 of the way down the list, using today's date   Holiday Calendar File Name: Eris_[yyyymmdd]_EOD_Holidays.csv Includes: Schedule of US & UK holidays going out 40 years for price calculations Frequency: Daily Find it here: About 2/3 of the way down the list, using today's date   Prices: End of Day Settlement File Name: Eris_Instruments _[yyyymmdd]_[Prelim]Settles.csv Includes: Preliminary and final Settlement Prices for all contracts Frequency: Daily Find it here: Near the bottom of the list, using today's date   Prices: Top Day / Beginning of Day File Name: Eris_Instruments _[yyyymmdd]_Prices_[Prev/TopDay]_PAI_Rate.csv Includes: Prices for all contracts at the beginning of the day using yesterday's PAI rate, and after the open using the official PAI rate once it is determined Frequency: Daily Find it here: Near the bottom of the list, using today's date   Spot Starting Swap Rates Using the Eris Settlement Curve File Name: Eris_[yyyymmdd]_EOD_ParCouponCurve_[Libor/OIS].csv Includes: Generic 1-30y spot starting LIBOR & OIS swap rates derived from the Eris settlement curve Frequency: Daily Find it here: About 2/3 of the way down the list, using today's date

Few things are viewed with as much distain as US Treasuries, or more generically the rates market for 2018 and beyond. Finding the correct instrument to short the rates market and perhaps more importantly choosing the right tenor (target duration) is difficult for the average investor. Read the full article on iBankCoin here.

Interactive Brokers now offers Eris Swap Futures, meaning users are now able to gain access to interest rate swap risk; a market previously beyond their reach. Read the full article on Institutional Asset Manager here.

A little-noticed recent step by a US broker could be a giant leap towards a swaps-for-all utopia dreamt up by a pair of Nobel Prize winners two decades ago.  That is the hope harboured by Interactive Brokers and Eris Exchange, whose futures replicating the cashflows of interest rate swaps became tradable via the electronic broker in January.  Read the full article on Risk.net here.

Read the full story on the Financial Times here.

CME Group will add to its suite of interest rate products by listing Eris USD swap futures in the fourth quarter of this year. The deal means Eris products will be listed on two of the biggest futures exchanges in the US, through CME and Intercontinental Exchange. Read the full article on The TRADE here.

Eris continues to build market participation ahead of Q4 migration to CME Group CHICAGO, June 5, 2018 /PRNewswire/ Eris Exchange (Eris), a US-based futures exchange group offering swap futures as the leading exchange-based alternative to over-the-counter swaps, announced today that BlueCrest Capital Management and Virtu Financial have joined Eris as equity partners. As part of the partnerships, both BlueCrest and Virtu have commenced trading Eris Swap Futures. BlueCrest is trading Eris to manage and express interest rate risk, and Virtu has started streaming two-sided electronic markets. Additionally, Doug Cifu, Virtu CEO has joined the Eris Board of Directors. Today's news follows CME Group and Eris' recent announcement that Eris USD Swap Futures will migrate from Eris Exchange to CME Group in Q4 2018. Eris Swap Futures will be available for trading on CME Globex, expanding distribution to CME Group's global client franchise. "BlueCrest started trading Eris Swap Futures earlier this year, and we are excited to partner with Eris to support this emerging pool of liquidity for expressing interest rate swap risk", said Michael Platt, CEO and Co-Founder of BlueCrest Capital Management, the global private investment partnership. "We plan to increase our participation leading up to the Q4 migration of Eris Swap Futures to CME Group, which we expect to further accelerate the growth of this innovative, capital-efficient product." "Eris is on the leading edge of innovation in fixed income markets, providing global traders and investors a product to express their interest rate views, and providing hedgers an instrument to manage long term rate exposure", said Doug Cifu, CEO of Virtu Financial. "Virtu, as a global leader in electronic market making and execution services, is uniquely positioned to contribute to and benefit from Eris' growth." "BlueCrest is a recognized, global leader in interest rate swap trading among buy-side firms, and Virtu has an impressive track record in providing liquidity in fixed income markets", said Neal Brady, CEO of Eris Exchange. "Bringing both BlueCrest and Virtu on board as committed partners positions Eris Swap Futures to achieve another level of liquidity and volume growth ahead of our migration to CME Group later this year." For further information, please contact your Eris representative.

Eris contracts match the cash flow economics of plain vanilla OTC LIBOR swapsLike OTC swaps - Eris incorporates a series of fixed and floating payments discounted at OIS, as well as a price alignment interest component, which allows Eris to avoid the convexity bias of other futuresThough Eris cash flows are netted into a single payment based on changes in the settlement price, the individual components can be broken out according to the Eris MethodologyThe stylized example below shows how the cash flows of an OTC swap would be reflected in an Eris contract of the same terms as they cross over a fixed/float payment date          Download our cash flow equivalence whitepaper here.