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Since the game-changing move to CME Group in December 2018, easy access to Eris Swap Futures has streamlined user implementation and accelerated growth in both Open Interest and Volume. Read more here  

Participants expressed interest in trading the Eris Curve, CME's Agha Mirza explains. Read the full article on FOW here.    

Click here for the original story published by MarketVoice, FIA's magazine for global futures, options and cleared swaps. New pricing format planned for contracts listed on ICE Futures Europe By Jeff Reeves Intercontinental Exchange and Eris Innovations are revamping the pricing structure of their European interest rate swap futures to make the contracts more user-friendly. A similar change has already proved highly successful in the U.S., and the two companies are now working to roll out the new pricing structure in the third quarter. The new approach was announced on March 13 when the two companies extended their licensing agreement. Eris Innovations designed the contract to replicate the cash flows and the economics of an over-the-counter interest rate swap, and ICE Futures Europe has listed euro-denominated and pound sterling denominated interest rate swap futures based on this design since June 2015. The key change is in how the contracts are priced. Starting in the third quarter, the ICE contracts will be quoted and traded in futures price terms instead of net present value. In practical terms, that means the contracts will be quoted as 100 plus the net present value of future cash flows, plus accumulated past cash flows, minus accumulated price alignment interest (PAI). PAI represents the overnight interest paid on collateral, the standard practice with collateralized OTC interest rate swaps but not traditional interest rate futures. In addition, the direction of the contract will be switched so that a long position in the new swap future will imply a receive fixed/pay floating swap position, rather than the other way around. Michael Riddle, chief executive officer at Eris Innovations, said the "futurization" of the pricing format is partially the result of the firm's experience in the U.S. market. When Eris decided to migrate its U.S. dollar-denominated contracts to CME's Globex platform, Eris also made a similar change in its pricing methodology from net present value to futures price terms. That migration took place in December, and since then trading activity has exploded. Volume rose from around 2,000 contracts per day in 2018 before the switch to about 5,200 contracts per day on average in the first three months of 2019. March is shaping up to be a record, with more than 9,000 contracts changing hands per day on average. The primary reason for the jump in trading activity was the listing on Globex, which greatly increased the number of intermediaries and end-users with access to the swap futures. Globex is one of the most heavily used electronic trading platforms in the futures industry, and virtually every major clearing firm and technology provider is connected to the platform. But Riddle said the change in the pricing structure had a meaningful impact on the operational requirements and made the contracts more appealing to futures market participants. For example, the USD interest rate swap futures now are more easily supported on investment management solutions such as those offered by Charles River Development, and thus easier to integrate into trading operations and risk management as a "vanilla new product" without extra layers of development or support, he said. "In opening up the U.S. dollar contract to a larger distribution by going up on CME, we also coupled that with changing the pricing quotation format instead of pricing in net present value. That adapted the contract from having conventions that looked more like a swap to something that looked more familiar to futures users," Riddle said. "We radically increased the distribution of the U.S. dollar contract not just by getting it out on CME Globex, but also helping it fit with futures more cleanly in the front-office, middle-office and back-office." Eris Innovations is now looking to apply the same approach in Europe with its partner ICE Futures Europe. "We want to take the lessons learned from that success, and apply it to the Euro and sterling contracts," Riddle said. Geoffrey Sharp, managing director and head of sales at Eris Innovations, added that the products are also proving their value to more and more market participants. The recent surge in trading activity for the USD futures has been driven by market participants who are shifting their risk positions into the swap futures. Because the contracts are cleared as futures, they are subject to lower capital requirements than cleared swaps, and they also benefit from margin offsets against other interest rate futures cleared at CME. "There has also been a sweep-up into Eris from other risk products, because there's tremendous value to an end-user who has directional risk and wants a lower capital footprint and a simpler, more liquid instrument to use," Sharp said. The two Eris Innovations executives said that in the coming months they will be collaborating with ICE Futures Europe to introduce the new contracts to clearing firms, technology vendors and trading desks "Over the last 10 years, the futures and the swaps markets have started to converge, and firms are looking for increasingly automated and efficient ways to trade and standardize risk," Riddle said, adding that the evolution of Eris pricing methodology reflects this trend.

Intercontinental Exchange (ICE), parent company of the New York Stock Exchange, announced that it has extended its global product licensing agreement with Eris Innovations, owners of the intellectual property on which Eris Swap Futures are based. In conjunction with the extension, ICE Futures Europe plans to amend its existing Eris GBP LIBOR Interest Rate Future and Eris EURIBOR Interest Rate Future contracts to reflect changes to the pricing methodology at Eris. The contracts will be quoted and traded in futures price terms, instead of net present value, making them easier to be integrated into order management, trade execution and risk management systems. "As the home of UK and European interest rates futures, ICE offers the broadest suite of highly liquid, cost-effective and margin-efficient tools for managing Sterling and European interest rate risk", said Chris Rhodes, Global Head of Financial Derivatives at ICE Futures. "Extending the partnership with Eris Innovations will further support ICE in helping its clients seek capital-efficient ways to transfer interest rate risk." Along with Eris, Sterling-denominated interest rate products available on ICE include Short Sterling Futures and Options, Gilt Futures and Options, and SONIA Futures. Open interest in ICE Interest Rate futures and options, including EURIBOR, is 29.2 million, up 9.3% year-over-year. "Eris' recent success has been fueled by our committed partners, including BlueCrest Capital Management, DRW, Virtu Financial and OSTC, and demonstrates the global growth potential of Eris Swap Futures", said Michael Riddle, CEO of Eris Innovations. "ICE's long-standing leadership position in EURIBOR and Short Sterling futures markets, and their recent growth of SONIA futures, makes them the natural partner for Eris Innovations in Europe." "OSTC's continued global growth is underpinned by a culture of innovation and is exemplified through our partnership with Eris, whose innovative suite of products provide opportunities for us to increase our exposure to interest rate markets", said Lee Hodgkinson, CEO of OSTC Ltd. "We look forward to working closely with Eris and ICE on these exciting developments." To view the full press release, click here.

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.