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Eris Swap Futures combine swaps and futures by replicating the economics of a traditional OTC swap, but trading as a listed futures contract.
Eris Swap futures do futures do not deliver and remain futures contracts until their underlying final maturity date. The inclusion of Price Alignment Interest in the Eris futures price keeps Eris values aligned with the value of an analogous OTC swap, thereby offering a swap risk instrument to participants who might not wish to take delivery of a cleared OTC swap, or are unable to accept delivery.
Eris Swap Eris Swap futures feature quarterly IMM starting contracts, with fixed MAC coupons, and underlying tenors of 2, 3, 4, 5, 7, 10, 12, 15, 20, and 30 years.
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Access to Eris Swap futures products does not need to be explicitly permissioned in Access Manager. |
Contents
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Order Entry Considerations
Pricing Conventions
Eris Swap futures are quoted in standard futures terms. As products on the Eris exchange, these markets traded in terms of net present value (NPV) of the future cash flows.
Customers who want to translate the pricing to the NPV value can leverage the Eris B & C values, which are available on CME Datamine.
Trading Eligibility
All CBOT-eligible traders can trade the Eris Swap futures. No special permissioning is required.
Market Data Considerations
Eris Swap Futures Security Type
The SecurityType (tag 167) of "FUT" for the Eris Swap futures is populated for iLink and MDP3 Security Definition (35=d) messages.
Tag | FIX Name | Req | Valid Values | Format | Description |
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167 | SecurityType | N | FUT=Future OPT=Option IRS=Interest Rate Swap FXSPOT=FX Spot | String (6) | Indicates type of instrument. |
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Eris Swap futures remain futures during the entire life of the product, achieving the same net monetary flows of the swap through futures mark-to-market pricing. |
Contract Month Convention
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Eris Swap futures outright instruments have a two-phase life cycle:
On the run - when the trade date is prior to the IMM date (third Wednesday) of the instrument’s named contract month, i.e. the 3 most recently listed quarters
Off the run - when the trade date is on or after the IMM date (third Wednesday) of instrument’s named contract month, i.e. all other listings.
The same Eris Swap futures instrument will initially be considered “on the run”, but as time passes and new listings are added, the older instrument becomes “off the run”.
On CME Globex, Eris outright instruments are tradable for the duration of both phases, up to expiration reflected in FIX tags 865=7 (Last eligible trade date) and 1145-EventTime in the Security Definition (tag 35-MsgType=d) message.
Standard Calendar Spreads Spreads (SP)
The Eris Swap futures calendar spread is implied, listing swaps of the same tenor with consecutive quarters (e.g., 2 Year December 2018 vs. 2 Year March 2019) as two legs.
Calendar spreads are between the between the first and second, and between the second and third nearest quarterly contracts, for example: June June-Sep and Sep-Dec.
Buy 1 calendar means Buy 1 front month leg and Sell 1 back month leg (+1:-1 ratio).
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CME Globex only lists Eris Swap futures spreads for the “on the run” legs. The spread will expire when the earliest leg transitions to “off the run” instead of when the earliest leg expires. |
Example: LITZ18-LITH19
Leg 1: LITZ18 – earliest off the run instrument
Transition to Off the Run date: 18 Dec 2018 (day before the third Wednesday of Dec 2018)
Expiration/LTD: 18 Dec 2020
Spread
Expiration: 18 Dec 2018 (based on transition date to Off the Run for earliest leg)
Changing Minimum Changing Minimum Price Increment
Depending on the contract tenor, Tag 969-MinPriceIncrement in the Security Definition (tag 35-MsgType=d) message will change once during the lifetime of each Eris Swap futures contract, depending on the number of quarterly contract months remaining to expiration. Customers are encouraged to regularly refresh their Security Definition messages to stay current with these tick changes.
Eris Swap Futures Market Data on Datamine
CME DataMine, a self-service solution, will provide additional pricing data previously available via the streamlined SBE market data.
Customers can leverage CME Datamine to access past historical cash flows ("B" values), Eris Price Alignment Interest (PAI, or "C" values) and contract risk parameters to convert prices to the NPV of future flows and implied par swap rates.
The Eris The Eris Swap futures contract methodology to convert to convert prices to the NPV of future flows is flows is as follows:
A(NPV) = Trade Price - 100 - B + C | ||
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A | Swap NPV | The present value of future cash flows; can be negative or positive |
B | Historical Fixed and Floating Amounts | Past cash flows, which remain in the contract settlement price |
C | Eris PAITM | Accumulated overnight interest on “A”, replicating interest on collateralized variation margin in OTC |
100 | Index Price | To index price to 100 rather than zero |
Trade Price | Settlement Value | The price of the future, used for trading, settlements, and other purposes. |
To support futures pricing, the side convention is: Buyer is the receiver of fixed-rate interest, and the payer of floating-rate interest.
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