PRODUCT REFERENCE GUIDE
TRADING EFFICIENCY  MARGIN SAVINGS  REGULATORY CERTAINTY
© 2017 All Rights Reserved 06132017
Topics
Section
Page
Overview and Contract Description
3
Trading Conventions
11
Trading Platforms and Tools
16
Trading Scenarios
20
Getting Started
26
Initial Margin and Margin Offsets
34
Post Trade Tools, Information, and Features
36
Additional Resources
42
2
© 2017 All Rights Reserved
Overview and Contract Description
3
© 2017 All Rights Reserved
Eris Exchange Overview
Status
Comments
Structure
Designated Contract Market (Futures Exchange)
Approved by the CFTC 11/2011
Products
3 Month LIBOR Interest Rate Swap Futures
Eris Standards and Eris Flexes
Ownership
Privately held
Owners include Morgan Stanley, CBOE,
Fidelity, State Street, Societe Generale
Currency
USD
Eris EUR & GBP futures available at
ICE, ZAR at JSE
CCP
CME Clearing
Futures guarantee fund
Initial Margins
Standards: 2 Day SPAN
Flexes: 5 Day HVaR
Set by CME Clearing
Margin Offsets
CME Eurodollars, Treasury Futures, Deliverable
Swap Future
Available today for house and client
accounts
Trading Platform:
Central Limit Order
Book
Eris SwapBookTM
Based on State Street’s Currenex code
base
Trading Platform:
Off-Exchange Trades
Eris BlockBoxTM
Web browser accessible
Exchange Access
Via CME Futures Clearing Firms
15 FCMs offering access today
CLOB Access
Exchange SwapBook GUI, Bloomberg EMSX, MS
Passport, RTS, Trading Technologies (TT), ION,
Open APIs, Fidessa, CQG, RiskVal
Free internet connected Eris GUI
available for live trading today
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© 2017 All Rights Reserved
Features of Eris Swap Futures
Standards
Flexes
Ability to Hold as Futures Through Maturity Date (No Physical Delivery or Early Expiry)


Replicates OTC Swap Economics using the Eris MethodologyTM


Settles to Eris Swap Futures Curve


Margin Offsets with CME Futures for Clients


Includes Price Alignment Interest From Inception Through Maturity


Efficient Asset Segregation for ’40 Act Funds


Standard Futures Documentation (no ISDAs)


Futures Tax Treatment through Maturity Date


Efficient Trading of Packaged Transactions


Standard Swap Conventions:
• Fixed Leg: Semi 30/360, Mod Following, Adjusted, NY and London
• Floating Leg: Qtrly, Actual/360, 3M LIBOR, Mod Following, Adjusted, NY and London


Reduced Margin for Life of Trade

Flexible Dates and Rates

Favorable Hedge Accounting


Effective Dates Out as Far as 10 Years
5

© 2017 All Rights Reserved
Economics of Eris Exchange Futures
A
+
-
B
C
+
100 =
Eris
Futures Price
Swap NPV
B
Historical Fixed
and Floating
Amounts
C
Eris PAITM
100
Index Price
Eris
Futures Price
Settlement
Value
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© 2017 All Rights Reserved
Primary Standards, Contract Specifications
Effective Dates
Contract Months
March Quarterly Cycle (March, June, Sept, Dec) with IMM Effective Dates as far out as 6 months
The next contract will be listed on the first business day of the month immediately following a quarterly month such that there will always be
up to 2 contracts listed with forward starting Effective Dates.
Underlying Tenors
2, 3, 4, 5, 7, 10, 12, 15, 20, 30 Years
Fixed Rate
Pre-determined rate set by Eris Exchange, which will remain static throughout the life of the Contract. Determined at listing date.
Quoting Convention
Net Present Value (NPV) per Contract for trade execution
Buy = Pay Fixed and Sell = Receive Fixed
Contract Size
$100,000 per contract
RTH Min.
OTH Min.
Minimum Tick Size
Tenor
Tick Size ($)
Implied bps Per Annum
Block Size (lots)
Block Size (lots)
2Y
2
0.1
100
10
3Y
2
0.07
100
10
4Y
5
0.12
100
10
5Y
5
0.1
100
5
7Y
10
0.14
100
5
10Y
10
0.1
100
5
12Y
10
0.09
100
5
15Y
10
0.07
100
5
20Y
20
0.12
100
5
30Y
20
0.09
100
5
Last Trading Day
The last day on which the Contract can be traded is the NY business day preceding the Maturity Date.
Regular Trading Hours (RTH): Monday – Friday; 7:00 AM to 5:00 PM Eastern Time
Trading Hours
Other Trading Hours (OTH): All times that are not RTH; including all hours on weekends and holidays
Tickers/Vendor Codes
Tenor
Eris Short Name
Eris Product Code
TT
Bloomberg
2Y
2Y P Stnd
ZA9102
2Y STND
LIT
3Y
3Y P Stnd
ZB9103
3Y STND
LIC
4Y
4Y P Stnd
ZB9104
4Y STND
LID
5Y
5Y P Stnd
ZB9105
5Y STND
LIW
7Y
7Y P Stnd
ZC9107
7Y STND
LIB
10Y
10Y P Stnd
ZC9110
10Y STND
LIY
12Y
12Y P Stnd
ZD9112
n/a
LII
15Y
15Y P Stnd
ZD9115
n/a
LIL
20Y
20Y P Stnd
ZD9120
n/a
LIO
30Y
30Y P Stnd
ZD9130
30Y STND
LIE
Margin
2 Day SPAN
Available Margin Offsets CME Interest Rate Futures: Eurodollars, Treasury Futures (2Y, 5Y, 10Y, Ultra 10Y, 30Y, Ultra), DSF, and all other Eris Stnd/Flexes
Matching Algorithm
FIFO
Block Reporting
Required to report block trades as per Rule 601 of the Eris Exchange Rulebook. There is no public reporting for EFRs and EFPs
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Ultra Forward Standards, Contract Spec.
Effective Dates
Contract Listing
Underlying Tenors
Fixed Rate
Quoting Convention
Contract Size
March Quarterly Cycle (March, June, Sept, Dec) with IMM Effective Dates as far out as 10 years
The next contract will be listed on the first business day of the month immediately following a quarterly month such that there will always
be contracts listed with the next 21 forward starting quarterly Effective Dates (beginning with Sep 2016) and with the 41st forward starting
quarterly Effective Date
2, 3, 4, 5, 7, 10, 12, 15, 20, 30 Years
Pre-determined rate set by Eris Exchange, which will remain static throughout the life of the Contract. Determined at listing date.
Net Present Value (NPV) per Contract for trade execution
Buy = Pay Fixed and Sell = Receive Fixed
$100,000 per contract
Tenor
Tick Size ($)
Minimum Tick Size
Last Trading Day
Trading Hours
Tickers/Vendor Codes
Margin
Available Margin Offsets
Matching Algorithm
Block Reporting
RTH Min.
OTH Min.
2Y
3Y
2
2
Block Size (Lots)
100
100
Block Size (lots)*
10
10
4Y
5Y
7Y
10Y
12Y
5
5
10
10
10
100
100
100
100
100
10
5
5
5
5
15Y
10
100
5
20Y
20
100
5
30Y
20
100
5
The last day on which the Contract can be traded is the NY business day preceding the Maturity Date.
Regular Trading Hours (RTH): Monday – Friday; 7:00 AM to 5:00 PM Eastern Time
Other Trading Hours (OTH): All times that are not RTH; including all hours on weekends and holidays
Tenor
Eris Short Name Eris Product Code
Tenor
Eris Short Name
Eris Product Code
2Y
2Y UF Stnd
ZA9202
10Y
10Y UF Stnd
ZC9210
3Y
3Y UF Stnd
ZB9203
12Y
12Y UF Stnd
ZD9212
4Y
5Y
7Y
4Y UF Stnd
5Y UF Stnd
7Y UF Stnd
ZB9204
ZB9205
ZC9207
15Y
20Y
30Y
15Y UF Stnd
20Y UF Stnd
30Y UF Stnd
ZD9215
ZD9220
ZD9230
2 Day SPAN
CME Interest Rate Futures: Eurodollars, Treasury Futures (2Y, 5Y, 10Y, Ultra 10Y, 30Y, Ultra), DSF, and all other Eris Stnd/Flexes
FIFO
Required to report block trades as per Rule 601 of the Eris Exchange Rulebook. There is no public reporting for EFRs and EFPs
* Min Block Size calculated based on Remaining Tenor
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© 2017 All Rights Reserved
Standard Invoice Swap Futures, Contract Spec.
Effective Dates
Either the first or last delivery date for the related CBOT Treasury Futures contract
Reference Treasury Futures 2-year, 5-year, 10-year, ultra 10-year, 30-year bond, ultra 30-year bond
Fixed Rate
Pre-determined rate set by Eris Exchange, which will remain static throughout the life of the Contract.
Determined at listing date.
Quoting Convention
Net Present Value (NPV) per Contract for trade execution
Buy = Pay Fixed and Sell = Receive Fixed
Contract Size
$100,000 per contract
RTH Min.
Block Size (lots)
100
100
100
100
100
100
OTH Min.
Block Size (lots)
10
10
5
5
5
5
Contract
2T
5T
10T
U10T
LBT
ULBT
Last Trading Day
The last day on which the Contract can be traded is the NY business day preceding the Maturity Date.
Regular Trading Hours (RTH): Monday – Friday; 7:00 AM to 5:00 PM Eastern Time
Other Trading Hours (OTH): All times that are not RTH; including all hours on weekends and holidays
Eris Product Code* Eris Product Code*
Reference Treasury Future
Eris Short Name
(Initial)
(Secondary)
TU
2T ISF
ZA99<MM>
n/a
FV
5T ISF
ZB99<MM>
n/a
TY
10T ISF
ZC99<MM>
n/a
UXY
U10T ISF
ZC99<MM>
n/a
US
LBT ISF
ZD99<MM>
ZD98<MM>
US
ULBT ISF
ZD99<MM>
ZD98<MM>
Trading Hours
Tickers/Vendor Codes
Tick Size ($)
1
5
5
10
20
20
Implied bps Per
Annum
0.06
0.12
0.08
0.11
0.10
0.08
Minimum Tick Size
Margin
2 Day SPAN
Available Margin Offsets
Matching Algorithm
Block Reporting
CME Interest Rate Futures: Eurodollars, Treasury Futures (2Y, 5Y, 10Y, Ultra 10Y, 30Y, Ultra), DSF, and all other Eris Stnd/Flexes
FIFO
Required to report block trades as per Rule 601 of the Eris Exchange Rulebook. There is no public reporting for EFRs and EFPs
* The last 2 digits (<MM>) in the Eris product code will represent the quarterly month of the reference treasury future (i.e. 03, 06, 09, 12)
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© 2017 All Rights Reserved
Eris Flexes, Contract Specifications
Effective Date
Any business day up to 10 years from Trade Date
Maturity Dates
Up to 30 years from the Effective Date, with precision down to each valid business day
Fixed Rate
Any rate between 0.000% and 9.999%
Quoting Convention
Rate or NPV (Net Present Value)
Buy = Pay Fixed
Sell = Receive Fixed
Contract Size
$100,000 per contract
Minimum Tick Size (Rate) 0.001%
Minimum Tick Size ($)
Last Trading Day
Trading Hours
Tickers
Tick
Size
($)
Implied bps
Per Annum
RTH Min.
Block Size (lots)
OTH Min.
Block Size (lots)
0 to <2Y
1
≥0.06
100
10
2 to <4Y
2
0.08
100
10
4 to <5Y
5
0.12
100
10
5 to <7Y
5
0.09
100
5
7 to <10Y
10
0.10
100
5
10Y
10
0.11
100
5
30Y
20
0.14
100
5
Tenor
The last day on which the Contract can be traded is the NY business day preceding the Maturity Date.
Regular Trading Hours (RTH): Monday – Friday; 7:00 AM to 4:30 PM Eastern Time
Other Trading Hours (OTH): All times that are not RTH except for 4:30 PM to 5:00 PM ET on business days. All hours on weekends and
holidays are considered OTH
Tenor
0 to 2Y
Margin
Bucket
ZA
2+ to 5Y
ZB
5+ to 10Y
ZC
10+Y
ZD
5 Day HVaR
Available Margin Offsets CME Interest Rate Futures: Eurodollars, Treasury Futures (2Y, 5Y, 10Y, Ultra 10Y, 30Y, Ultra), DSF, and all Standards and Flexes
Matching Algorithm
Block Reporting
FIFO
Required to report block trades as per Rule 601 of the Eris Exchange Rulebook. There is no public reporting for EFRs and EFPs
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© 2017 All Rights Reserved
Trading Conventions
11
© 2017 All Rights Reserved
Product Codes for Eris Standards
Eris Standards product symbology varies across Independent Software Vendor (ISV) platforms. The table below lists
some of the ISVs supporting Order Routing and/or Market Data functionality for the Eris Standards contracts.
June 2017:
June
Tenors
Eris
Short Name
Bloomberg
CQG
Fidessa
Thomson
Reuters
TT
Trading
Screen
UBS Neo
2Y
2Y Stnd Jun
2017-2019
LITM7
LITM7
2Y Standard Jun
2017-2019 1.250%
USDIMM
2YA=ER
2Y STND Jun17
2Y-USDM17
USD Eris Std
21-Jun-2017 (2Y)
3Y
3Y Stnd Jun
2017-2020
LICM7
LICM7
3Y Standard Jun
2017-2020 1.250%
USDIMM
3YA=ER
3Y STND Jun17
3Y-USDM17
USD Eris Std
21-Jun-2017 (3Y)
4Y
4Y Stnd Jun
2017-2021
LIDM7
LIDM7
4Y Standard Jun
2017-2021 1.250%
USDIMM
4YA=ER
4Y STND Jun17
4Y-USDM17
USD Eris Std
21-Jun-2017 (4Y)
5Y
5Y Stnd Jun
2017-2022
LIWM7
LIWM7
5Y Standard Jun
2017-2022 1.250%
USDIMM
5YA=ER
5Y STND Jun17
5Y-USDM17
USD Eris Std
21-Jun-2017(5Y)
7Y
7Y Stnd Jun
2017-2024
LIBM7
LIBM7
7Y Standard Jun
2017-2024 1.500%
USDIMM
7YA=ER
7Y STND Jun17
7Y-USDM17
USD Eris Std
21-Jun-2017 (7Y)
10Y
10Y Stnd Jun
2017-2027
LIYM7
LIYM7
10Y Standard Jun
2017-2027 1.500%
USDIMM
10YA=ER
10Y STND Jun17
10Y-USDM17
USD Eris Std
21-Jun-2017 (10Y)
30Y
30Y Stnd Jun
2017-2047
LIEM7
LIEM7
30Y Standard Jun
2017-2047 1.750%
USDIMM
30YA=ER
30Y STND Jun17
30Y-USDM17
USD Eris Std
21-Jun-2017 (30Y)
September 2017:
Sep
Tenors
Eris
Short Name
Bloomberg
CQG
Fidessa
Thomson
Reuters
TT
Trading
Screen
UBS Neo
2Y
2Y Stnd Sep
2017-2019
LITU7
LITU7
2Y Standard Sep
2017-2019 1.750%
USDIMM
2YA=ER
2Y STND Sep17
2Y-USDU17
USD Eris Std
20-Sep-2017 (2Y)
3Y
3Y Stnd Sep
2017-2020
LICU7
LICU7
3Y Standard Sep
2017-2020 1.750%
USDIMM
3YA=ER
3Y STND Sep17
3Y-USDU17
USD Eris Std
20-Sep-2017 (3Y)
4Y
4Y Stnd Sep
2017-2021
LIDU7
LIDU7
4Y Standard Sep
2017-2021 2.000%
USDIMM
4YA=ER
4Y STND Sep17
4Y-USDU17
USD Eris Std
20-Sep-2017 (4Y)
5Y
5Y Stnd Sep
2017-2022
LIWU7
LIWU7
5Y Standard Sep
2017-2022 2.000%
USDIMM
5YA=ER
5Y STND Sep17
5Y-USDU17
USD Eris Std
20-Sep-2017 (5Y)
7Y
7Y Stnd Sep
2017-2024
LIBU7
LIBU7
7Y Standard Sep
2017-2024 2.250%
USDIMM
7YA=ER
7Y STND Sep17
7Y-USDU17
USD Eris Std
20-Sep-2017 (7Y)
10Y
10Y Stnd Sep
2017-2027
LIYU7
LIYU7
10Y Standard Sep
2017-2027 2.500%
USDIMM
10YA=ER
10Y STND Sep17
10Y-USDU17
USD Eris Std
20-Sep-2017 (10Y)
30Y
30Y Stnd Sep
2017-2047
LIEU7
LIEU7
30Y Standard Sep
2017-2047 2.500%
USDIMM
30YA=ER
30Y STND Sep17
30Y-USDU17
USD Eris Std
20-Sep-2017 (30Y)
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© 2017 All Rights Reserved
Trading Conventions
To pay fixed, end-users will
execute on the ask side of the
live quotes and vice versa
Eris Standards: Forward starting
contracts with predetermined
rates and dates; trade in NPV
13
© 2017 All Rights Reserved
Trader Execution Reference Information
Key Points to Remember
•
Contract Size = $100,000 notional
•
“BUY” = Pay Fixed, “SELL” = Receive Fixed for both Rate and NPV quoted contracts
•
Goal: Buy Low (pay a low fixed rate or NPV) and Sell High (receive a high fixed rate or NPV)
•
All NPV quoted instruments are from the Buyer’s perspective:
•
•
Positive NPV: Par Rate > Fixed Rate
•
Negative NPV: Par Rate < Fixed Rate
Direction of “Premium” in OTC Equivalent Terms:
•
Positive NPV: Buyer/Fixed rate payer Pays premium and Seller/Fixed rate receiver Receives premium
•
Negative NPV: Buyer/Fixed rate payer Receives premium and Seller/Fixed rate receiver Pays premium
BID SIDE:
ASK SIDE:
NPV/Rate where
NPV/Rate where
Market Maker Pays Fixed
Market Maker Receives Fixed
and End User Receives Fixed
and End User Pays Fixed
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© 2017 All Rights Reserved
Par Rate Equivalents
NPV Traded Contracts Can Be Expressed in Par Rate Equivalents
• The OTC market is familiar with trading in par rate terms
• The par rate equivalent represents the fixed rate an end user
would trade the contract assuming NPV = 0
Depth of
Market Tile
Par Rates
Displayed on www.erisfutures.com
15
© 2017 All Rights Reserved
Trading Platforms and Tools
16
© 2017 All Rights Reserved
Eris Central Limit Order Book is Live Today
1) Third Party Platforms
Electronic
• Streaming Prices
2) Exchange GUI
• Immediate Trade Acceptance
• Anonymous All-to-All RFQs
• Curve Trades and Calendar Rolls
3) FIX Connectivity
to Open APIs
• Eris vs. Cash Treasuries
Trading Hours
Regular Trading
Hours (RTH)
Eris Standards
FIX
FIX
ERIS
APIs
FIX
Eris Flexes
Monday – Friday
7:00 AM to 5:00 PM Eastern Time
Monday – Friday
7:00 AM to 4:30 PM Eastern Time
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© 2017 All Rights Reserved
Voice Execution and Off Exchange Trades
Block Trade Comparison
Voice
• Pre-trade net exposure credit checks
Maturity
• Single price spread trading/baskets
2 to <5
• EFPs w/Cash and EFRs w/OTC
5 to <10
• Submit EFPs and EFRs for clearing by EOD
10 to <30
• Blocks measured as sum of notional
30
• Eligible for OTH trading
Eris Block Size
(RTH)
Eris Block Size
(OTH)
OTC
Block Size
$10mm
$1mm
(100 Contracts)
(10 Contracts)
$460mm
$10mm
$0.5mm
(100 Contracts)
(5 Contracts)
$10mm
$0.5mm
(100 Contracts)
(5 Contracts)
$10mm
$0.5mm
(100 Contracts)
(5 Contracts)
$240mm
$170mm
$120mm
Report Trades:
Call the Eris Control Center, 888-587-2699, select 1 or enter trades in Eris
BlockBoxTM through your web browser
Trading Hours
1
Eris Standards
Eris Flexes
Regular Trading
Hours (RTH)
Monday – Friday;
7:00 AM to 5:00 PM Eastern Time
Monday – Friday;
7:00 AM to 4:30 PM Eastern Time
Other Trading
Hours (OTH)
All times that are not RTH, including all hours on
weekends and holidays
All times that are not RTH except for 4:30 PM to 5:00 PM Eastern Time
on business days1
All hours on weekends and holidays
4:30 PM to 5:00 PM Eastern Time on business days is considered an invalid execution time for Eris Flexes
18
© 2017 All Rights Reserved
Regular and Other Trading Hours
Block Trades, Exchange for Risk (EFR) and Exchange for Physical (EFP)
Trade Negotiation
Times (ET)
RTH
Begin
7:00 AM
4:30 PM
OTH
5:00 PM
12:00 AM
6:45 AM
1.
2.
3.
4.
Product
Type
Negotiation
Permitted
Standards

Trade
Date
Block Reporting
Deadline
Submission for
Clearing Deadline
Within 15 minutes of negotiation
5:15 PM on
Same Calendar Date
Within 15 minutes of negotiation,
up to 4:35 PM
4:35 PM on
Same Calendar Date
Same Calendar Date
Within 15 minutes of negotiation,
up to 5:15 PM
5:15 PM on
Same Calendar Date
Next Business Date
6:55 AM on
Next Business Date
End
4:30 PM
5:00 PM
Same Calendar Date
Flexes

Standards
(ONLY)

Standards

11:59 PM
Flexes

Standards

6:45 AM
Same Calendar Date
Flexes

Standards

Flexes

7:00 AM
Same Calendar Date
6:55 AM on
Same Calendar Date
Within 15 minutes of
negotiation on
Same Calendar Date
5:15 PM on
Next Business Date
4:35 PM on
Next Business Date
5:15 PM on
Same Business Date
4:35 PM on
Same Business Date
5:15 PM on
Same Business Date
4:35 PM on
Same Business Date
EFPs and EFRs do not have a reporting deadline, though must be submitted for clearing by the deadline noted in the table above
Eris Flexes may be negotiated between 4:30 PM and 5:00 PM on weekends and holidays
Eris BlockBoxTM will open at 6:45 AM ET for reporting and submission on valid business days
Eris Exchange daily Eris PAI™ for all trades executed between 9:15am and 5:00pm ET during RTH using the overnight fed funds
effective rate that was published on the morning of the trade date
• For all other trades, daily Eris PAI™ is calculated using the overnight fed funds rate that was published on the morning of the
previous trade date
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© 2017 All Rights Reserved
Trading Scenarios
20
© 2017 All Rights Reserved
Integrated Compression Tools: Eris SLICE
•
Eris Swap-futures Line Item Compression and Elimination (SLICE)
 Terminate or replace multiple positions at a single price
 Spreadsheet integration (reduce human error)
 Basket sharing between parties
 Net credit checks for entire basket
 Individual leg prices assigned post execution
• Eris Standards automatically net eliminating the need for post trade
compression
• CLOB unwinds via anonymous All-to-All RFQ
• Unwind with any counterparty
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© 2017 All Rights Reserved
Trading Eris Calendar Spreads
What is an Eris Calendar Spread?
Execution of a buy and sell for two Eris Standards with the same Underlying Tenor but with Effective
Dates one quarter apart from each other. Calendar spreads can be legged into separately, or traded
as a package
Why Trade Eris Calendar Spreads?
End users often roll positions quarterly as calendar spreads to stay in the most actively quoted
“current” contract, or to maintain a constant underlying tenor
Example Trade:
Order Book of Jun vs Sep Discrete Spread
Ways to Trade Eris Calendar Spreads:
5Y P Stnd Jun/Sep
1. Discrete Spreads: Trade combined package
electronically via Eris SwapBookTM
2. Auto Spreading Tools: Trade buy and sell legs
independently by utilizing 3rd party ISV auto spreading
tools: Eris SwapBookTM GUI, TT, and RTS
3. Single Block Trade: Trade combined package by
voice, 2 legs reported through Eris BlockBoxTM
850
800
750
700
295
290
285
280
275
270
265
260
255
1000
1000
1500
1200
Spread Buyer lifts the offer at $275
which represents selling the Jun
contract at -$3,180 and buying the
Sep contract at -$2,905
1150
Spread Seller hits the bid at $270,
which represents buying the Jun
contract at -$3,180 and selling the
Sep contract at -$2,910
The NPVs illustrated above represents the difference
between the prompt and next month in the spread trade
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© 2017 All Rights Reserved
Trading Off-The-Run Eris Standards
Achieve Yield Curve Granularity
With Off-The-Run Eris Standards
Eris Standards Curve
Eris Standards which have passed the Effective Date
are referred to as Off-The-Run and are available for
trading until the Maturity Date
There are hundreds of points on the yield curve
available to trade using Off-The-Run Eris Standards
Off-The-Run Eris Standards are margined at 2 day
VaR until maturity, and margins will decline as the
remaining tenor falls over time
Example Trade: Jun 2013 5Y Stnd as a Proxy for a 4 Year Swap
Swap Terms
Off-The-Run Eris Standard Terms
Effective Date:
7/22/2014
Maturity Date:
7/22/2018
Fixed Rate:
1.499%
Par Rate:
1.499%
DV01 (per $100k):
Initial Margin:
$39.26
Initial
Margin
Lower
Than
OTC
Swaps
1.416%
Effective Date:
6/19/2013
Maturity Date:
6/19/2018
Fixed Rate:
1.000%
Par Rate:
1.460%
DV01 (per $100k):
Initial Margin:
23
$38.64
0.700%
© 2017 All Rights Reserved
Use Eris Swap Futures for Packaged Trades
Single Bid/Offer Without Legging Risk, Credit on Net Risk of Swap Futures
Package Transaction
Compress OTC Swaps into Futures
Eris Leg(s)
Trade Type
Additional
Information
• Compress line items
• Lower margins and clearing fees
• Efficient voice trade execution of the package as an
Exchange for Risk (EFR) at any size
Exchange
for Risk
Swap (future) vs. Swap (future)
Block Trade
•
•
•
•
Swap Spreads
Exchange
for Physical
• Negotiate in spread terms
• Use Eris Standards to reduce IM
• End of day submission to Eris Exchange
MBS Basis
Exchange
for Physical
• Negotiate in spread terms
• Use Eris Standards to reduce IM
• End of day submission to Eris Exchange
Corporate Bond Hedging
Exchange
for Physical
• Synchronize with new issue process
• End of day submission to Eris Exchange
Delta Neutral Swaptions
Exchange
for Risk
• Forward starting Eris Flex to replicate the Delta
• End of day submission to Eris Exchange
Municipal Bond Hedging
Exchange
for Physical
• No leg risk
• End of day submission to Eris Exchange
24
Net credit check
Sum of notional used to determine block eligibility
Single price for basket trade execution
Eris SLICE automates basket trading
© 2017 All Rights Reserved
Use Eris to Hedge New Issues
Complications of New Issue Hedging With OTC Swaps
•
Traditional approach of locking in swap spreads and
later passing Treasuries on the pricing call may not
be allowed
•
A large portion of cleared OTC swaps are now
forced to trade electronically on SEFs
•
Potential loss of anonymity
Pre Dodd Frank: Hedging New Issue With OTC
Swap Spread Lock
Issuer
Issuer
Benefits of Hedging New Issues With Eris
•
Bank
+ Treasury Pass
= Rec Fixed Swap
Bank
Post Dodd Frank: Hedging New Issue With Eris
Economics of a swap spread lock & Treasury pass can be
achieved with Eris and an intraday T-Lock designated as an
Exchange For Risk

EFR & EFP can be transacted by voice at any size with no public reporting

Use Treasuries at new issue pricing to unwind T-Lock
•
Lower stand alone block thresholds than OTC allow for voice
trading
•
Lower margins for standardized tenors
•
Forward-starting Eris Swap Futures can be used in place of
swap locks
25
Eris + Intraday T-Lock replaces the use of a swap spread
lock. Treasury pass settles the T-Lock
Rec Fixed (Eris)
& Intraday T-Lock
Issuer
Issuer
Bank
+ Treasury Pass
& T-Lock Unwind
= Rec Fixed (Eris)
Bank
© 2017 All Rights Reserved
Getting Started
26
© 2017 All Rights Reserved
Get Started with Eris Today
•
•
•
•
Traditional futures documentation
Minimal new documentation required if already trading CME futures
Electronic Give-up System (EGUS) protocols
No ISDA execution agreements
On-board to Trade Electronically:
A. Clearing firm sets account credit limits
B. User executes Connection Agreement
C. Clearing firm updates ‘give-up’ agreements
On-board to Trade Blocks, EFPs, and EFRs:
A. Clearing firm sets account credit limits and permissions for BlockBox
B. Clearing firm updates ‘give-up’ agreements
27
© 2017 All Rights Reserved
Call Your FCM to Get Started Today
28
© 2017 All Rights Reserved
Electronic Execution
EMSX / TSOX
Connectivity Providers:
29
© 2017 All Rights Reserved
Live on Bloomberg: ERIS<GO>
Eris Primary Standards
Example: LITU7 (Sep 2017 2 year)
L
ERIS <GO> Shortcuts
ERIS:
Landing Page
GP:
Graph Price
ERIS1:
Streaming Benchmarks
GIP:
Intra-day Price Graph
MDM:
Market Depth Monitor
DES:
Contract Description
QRM:
Recap of Quotes
SWPM:
Swap Manager
QR:
Recap of Trades
HP:
Historical Price Table
ERIS1 <GO>
View live streaming markets
I
‘LI’
Indicates
Instrument as
Eris Standards
contract
T
U
7
‘T’
Dictates
the tenor
‘M’
Month of
Eff. Date
Tenor
2Y = T
5Y = W
7Y = B
10Y = Y
Month Codes
‘7’
The last
number
of the
effective
year
Ex. 2017
30Y = E
Active* = A
Mar = H
Jun = M
Sep = U
Dec = Z
MDM <GO>
QRM <GO>
MDM allows users to see full
market depth and top day
trade activity in any streaming
Eris benchmark contract
QRM shows time,
price and size for
trades executed in
Eris SwapBook
SWPM <GO>
HP <GO>
SWPM can be launched
from the DES page with
pre-populated contract
terms
HP shows historical
settlement prices
and volume and
open interest
Available Resources: www.erisfutures.com/bloomberg
Request the ERIS <GO> User Guide and Spreadsheet, email [email protected]
30
© 2017 All Rights Reserved
Customized Spreadsheet for Bloomberg
Bloomberg users can use the customized spreadsheet for with real-time market data for:
•
•
•
•
Streaming prices including market depth
Historical volumes and settlement prices
Risk factors (PV01 and DV01) for Eris Standards
Streaming implied Eris invoice spread levels
•
•
•
•
Implied swap spreads versus OTR cash treasuries
Current day Eris SwapBook volume for Eris Standards
Initial margin for Eris Standards
Par rate equivalents for NPV quoted Eris Standards
Streaming Markets for Eris Standards and Standards, including Par Rate Equivalents
Market Depth Monitor
NPV Traded Contracts Can
Be Expressed in
Par Rate Equivalents
Risk Analytics
31
© 2017 All Rights Reserved
Daily Settlement Prices
Eris Standard Historical Prices on Erisfutures.com
www.Erisfutures.com
• The data file provides users immediate access to historical prices in conjunction with Eris
short codes, Eris z-codes and Bloomberg contract codes. Users can also view the Swap
NPV, Accrued Coupons, and Eris PAITM for Eris Swap Futures
Eris/Bloomberg Spreadsheet:
• Historical settlement prices for Eris Standards and Flexes can be pulled from an Eris
supplied spreadsheet with links to Bloomberg (To request the spreadsheet, contact Eris
Exchange client services at [email protected])
Public FTP:
• On the Eris public ftp site, ftp://ftp.erisfutures.com/ , settlement prices for each z-code can
be found in the daily End of Day file (e.g. Eris_Instruments_YYYYMMDD_Volume.csv)
Bloomberg Terminal:
• Historical settlement prices for Eris Flexes can be viewed from the contract’s Bloomberg ID
 ‘Bloomberg ID’ Comdty HP <Go> (see conversion methodology below)
Eris Product Code Example:
Eris Z-Code1
Bloomberg ID
Tenor Bucket2
ZA
EIA
Eris Standard ID / Eris
Flex Counter
9102, 0001
09102, 00001
Maturity Date3
YYYYMMDD
YYYYMMDD
ZA910220150619
ZA000120150619
EIA09102 20150619
EIA00001 20150619
Security
Identifier4
1 - For more detailed information on Eris z-code construction, consult the
Eris Exchange Trade Ticker Conventions
2 - Bloomberg replaces the ‘Z’ in the Eris z-code with an ‘EI’
3 - Bloomberg adds a ‘0’ before the Eris Standard ID / Eris Flex Counter
4 - Bloomberg adds a space in the Comdty Code before the Maturity Date
32
© 2017 All Rights Reserved
Eris Volume and Open Interest
File/Name
Web Location
Data
Eris Website: Volume and Open Interest
http://www.erisfutures.com/volumeand-open-interest
Current day’s volume and open interest for
each of the streaming Standards, ‘Other
Standards’ as a single group and ‘Flexes’
as a single group
Historical Volume and Open Interest
(CSV) file
http://www.erisfutures.com/ftp/Eris_
Historical_VOI.csv
Historical volume and open interest for
every individual Standard and for Flexes as
a group
Historical Eris Swap Futures Data (Excel)
file
http://www.erisfutures.com/ftp/Eris_
Historical_Swap_Futures_Data.xlsx
Historical trade count, volume, pricing and
open interest for all contracts. Settlement
and underlying price components and end
of day NPV calculations for Eris Standards.
Prelim and Final Open Interest Files
ftp://ftp.erisfutures.com/
Published daily with current open interest
for every individual Standard and for Flexes
as a group
ftp://ftp.erisfutures.com/
Published daily with top day volume for
every single z-code
(no open interest)
(e.g. Eris_20130924_PRELIM_OpenInterest.csv
and Eris_20130924_FINAL_OpenInterest.csv)
End of Day Price File
(e.g. Eris_Instruments_YYYYMMDD_Volume.csv)
Historical volumes for both Eris Flexes and Eris Standards and historical Open Interest for Eris Standards
can also be viewed via the HP (Historical Price) screen on Bloomberg
33
© 2017 All Rights Reserved
Initial Margins
and Margin Offsets
34
© 2017 All Rights Reserved
Initial Margins and Available Margin Offsets
Standards
Flexes
2-day VaR (SPAN)
5-day HVaR
Margining
Eris Standards, Eris Flexes, Eurodollar
Futures, Treasury Futures, CME DSF
Offsets
Eris Flexes, Eris Standards, Eurodollar
Futures, Treasury Futures
Customer and House Accounts
Availability of Offsets
Customer and House Accounts
Margin Tables as of June 12, 2017
Tenor
•
Eris Standards
Eris Flexes
Initial Margins
Initial Margins
Pay/Rec Fixed(%) Pay/Rec Fixed ($)
Tenor
Pay Fixed
Rec Fixed
2yr
0.45%
$450
2yr
0.50%
0.69%
3yr
0.50%
$500
3yr
0.77%
1.10%
4yr
0.65%
$650
4yr
1.11%
1.57%
5yr
0.95%
$950
5yr
1.32%
1.86%
7yr
1.25%
$1,250
7yr
1.96%
2.80%
10yr
1.95%
$1,950
10yr
2.75%
3.53%
12yr
1.95%
$1,950
12yr
3.30%
4.05%
15yr
2.35%
$2,350
15yr
4.22%
4.51%
20yr
3.30%
$3,300
20yr
5.48%
5.32%
30yr
5.10%
$5,100
30yr
7.15%
6.57%
Up to 59%
Savings over
OTC Cleared
Liquidity add-on charges do not apply as with OTC Swap Clearing
35
© 2017 All Rights Reserved
Post Trade Tools, Information,
and Features
36
© 2017 All Rights Reserved
Eris Standards Look-Up Page
The Standards Look-Up page allows users to easily retrieve details for all Eris Standards
erisfutures.com/lookup
Use the search bar to
find specific contract
details by typing in
Bloomberg Code,
Coupon rate, etc.
Search for contract
details by selecting
the Type, Underlying
Tenor, Effective
Year, and/or
Effective Month
Clicking the dropdown
arrow will display detailed
contract information
37
© 2017 All Rights Reserved
Collateral Flexibility
Collateral Eligible for
Initial Margin 1
Eris Exchange
and CME Futures
CME
OTC IRS
LCH
SwapClear
US Dollar



Australian Dollar, British Pound, Canadian Dollar,
Euro, Japanese Yen, Mexican Peso, New Zealand
Dollar, Swiss Franc, Norwegian Krone, South
African Rand and Swedish Krona


Turkish Lira, Chinese Renminbi

Cash
US Treasuries, Agencies & MBS2
Gold
Corporate Bonds
Letters of Credit
US Equities
Japanese Government Bonds
Other Foreign Sovereign Debt3















1 - List shows collateral available to be posted to clearing house. Individual FCM’s designate eligible collateral for individual clients. Source URL’s (each accessed March 28, 2014)
Eris Exchange: http://www.cmegroup.com/clearing/files/acceptable_collateral_Futures_Options_SelectForwards.pdf
CME OTC IRS: http://www.cmegroup.com/clearing/files/acceptable_collateral_IRS.pdf
LCH SwapClear: SwapClear US and SwapClear Global (Non-Members): http://www.swapclear.com/service/acceptable-collateral.html
2 – FNMA and FHLMC MBS are not acceptable at SwapClear Global
3 - Foreign Sovereign Debt of Canada, France, Germany, Sweden, and the United Kingdom are eligible collateral for Eris Exchange products, CME OTC IRS and LCH SwapClear. LCH SwapClear also
accepts debt from Australia, Austria, Belgium, Denmark, Finland, Luxembourg, Netherlands and Norway. LCH SwapClear Global also accepts debt from Italy and Spain
38
© 2017 All Rights Reserved
Average Pricing and Allocation Tools
Example: 10y Standard, 3 fills, 400 contracts ($40mm notional)
Average Pricing
•
•
Average pricing functionality is available
for Eris Interest Rate Swap Futures using
CME Average Pricing System (APS)
Trade #1
Buy 10y Standard
# Contracts: 100
NPV: +$1,850
End user asks its FCM to average price
specific Eris contracts with the same
terms, FCM then processes via CME
Front-End Clearing System Plus (FEC+)
Pre-Trade
Trade #2
Buy 10y Standard
# Contracts: 100
NPV: +$1,950
Post Trade
End user asks FCM for average
pricing on trades # 1, 2, & 3.
FCM processes request
Total # Contracts: 400
Avg NPV: +$2,000
Trade #3
Buy 10y Standard
# Contracts: 200
NPV: +$2,100
Pre-Trade and Post-Trade Allocations
•
•
Allocations
Post-Trade
Participants can utilize existing futures give-up framework
Allocate trades using CME Give Up System
Electronic Give-ups Agreements
EGUS
•
•
•
Manage give-ups with FIA Electronic Give-Up System (EGUS)
Quickly connect executing brokers to clearing firms
Manage and monitor brokerage fee changes in a single portal
39
© 2017 All Rights Reserved
Tax and Hedge Accounting Benefits
• Taxed as futures through the life of the trade (1256 contracts)
3rd Party
Tax Opinion
Contact [email protected] to request a copy of The Tax Opinion
• Eris tenor granularity and swap economics allow favorable hedge accounting
Cash flow & fair value hedge accounting case studies
& Independent Consultants
www.erisfutures.com/RJOcasestudy
Hedge accounting white paper
www.erisfutures.com/hedgeaccounting
40
© 2017 All Rights Reserved
Eris Exchange & Clearing Fees
All fees are quoted per $100k notional, include CME Clearing fees and are charged per contract side
Product Type
Tenor/Code
Eris Primary Standards
Eris Ultra Forward Standards
2, 3, 4, 5, 7, 10, 12, 15, 20, 30 Year
$0.50
2T, 5T, 10T, U10T, LBT, ULBT
$0.50
0 to 2 Year
$0.50
2+ to 5 Year
$0.90
5+ to 10 Year
$1.60
10+ to 30 Year
$3.50
Eris Standard Invoice
Swap Futures*
Eris Flexes
Exchange +
Clearing Fees
Maintenance Fees may apply; Eris Standards $1.00 quarterly and Eris Flexes $0.30 annually
The maintenance fees for Eris Standards are equivalent to rolling the position to the “active”
contract, but without having to pay the bid / offer quarterly
For information on fee incentive programs and to request a TCA Analysis for Eris vs. Cleared OTC,
email [email protected]
*Tenor for Invoice Swap Futures represents the related Treasury Futures cheapest to deliver
41
© 2017 All Rights Reserved
Additional Resources
42
© 2017 All Rights Reserved
Eris Website Resources
Content and Pages
Description
Web location
Traders’ Corner
Landing page with many trading and product
resources
www.erisfutures.com/traderscorner
Volume and Open Interest
Summary table of recent trading activity
www.erisfutures.com/volume-and-open-interest
Trade Recap
Real time and historical trade details for all Central
Limit Order Book and Block Trades
www.erisfutures.com/trade-recap
Cash Flow Comparison
White paper showing the cash flow equivalence of
Eris Swap futures and swaps
www.erisfutures.com/ProductComparison
Contract Specifications
Landing page with all Eris Swap Futures product
specifications
www.erisfutures.com/specs
Standards Look-Up
Provides functionality to identify products and
generate contract details
www.erisfutures.com/lookup
Live Quotes
Live market data for Eris Swap Futures
www.erisfutures.com/eris-swapbook
Bloomberg User Guide for Eris
Bloomberg guide with common shortcuts,
screenshots and spreadsheet features
www.erisfutures.com/BloombergGuide
Eris Hedge Ratios
Displays hedge ratios required to create DV01
neutral portfolios between Eris Standards and
Treasury Futures
www.erisfutures.com/hedgeratios
Trading Hours and Holidays
List of all trading hours, settlement curve times,
holidays and early market closures
www.erisfutures.com/trading-hours-and-holidays
Reval Hedge Accounting Paper
White paper focused on the application of hedge
accounting to Eris Swap Futures
www.erisfutures.com/hedgeaccounting
Block Trades
Summary of daily block trading activity
www.erisfutures.com/block-trades
Electronic Execution Contacts
List of companies and contacts for execution
platforms offering Eris markets
www.erisfutures.com/ISVs
Rulebook
Eris Exchange Rulebook
http://www.erisfutures.com/rulebook
43
© 2017 All Rights Reserved
Eris Exchange Contact Information
Eris Control Center
Sales
888-587-2699, select 1
888-587-2699, select 2
[email protected]
[email protected]
Market Regulation
Client Services
888-587-2699, select 1
646-961-4480
[email protected]
[email protected]
New York
London*
Chicago
211 East 43rd St., Suite 1600
New York, NY 10017
68 King William Street
London EC4N 7DZ
227 West Monroe St., Suite 2070
Chicago, IL 60606
www.erisfutures.com
Follow us
on Linkedin
Follow us
on Twitter
2014 Fixed Income
Exchange of the Year
2011 Best New Exchange
2012 Innovation Award
2014 Best New Technology
*Eris Marketing Europe, Ltd. +44 203 514 6583
44
© 2017 All Rights Reserved
Eris Exchange Legal Notices
Version Created 06/13/2017
Eris Exchange is a Designated Contract Market registered with the U.S. Commodity Futures Trading Commission, whose relationship with
persons utilizing the Exchange is governed solely by its Rulebook and certain other ancillary documentation. All information contained herein is
made subject to and superseded by the Eris Exchange rules. Current rules should be consulted in all cases concerning contract specifications.
Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage
of a contract’s value is required to trade, it is possible to lose more than the amount of money deposited for a futures position. Therefore, traders
should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any
one trade because they cannot expect to profit on every trade. All references to options refer to options on futures.
The contents of this document have been provided to you for informational purposes only and are intended as a broad overview of certain
aspects of Eris Exchange. Eris Exchange assumes no responsibility for any errors or omissions. Additionally, all examples in this document
are hypothetical situations, used for explanation purposes only, and should not be considered as investment advice, legal advice, or tax
advice. Nothing in this document should be taken as a public offer to sell or to buy any applicable financial instruments or securities.
Notice to individuals in the UK and Europe. This communication does not constitute a Prospectus, nor is it a recommendation to buy, sell or
retain any specific investment. This communication is for the exclusive use of Eligible Counterparties, Professional Clients, or investment
professionals and must not be relied upon by any other class of person and is therefore not intended for private individuals or those who would
be classified as Retail Clients. Circulation should be restricted accordingly. Issued by Eris Marketing Europe Limited.
The Eris Logo, Eris, Eris Exchange, Eris BlockBox, Eris Methodology, Eris PAI, and Eris SwapBook are trademarks of Eris Exchange, LLC or its
affiliates.
Copyright © 2017. All rights reserved.
If found please contact [email protected].
45
© 2017 All Rights Reserved