Broad array of new tenors and forward periods provide the capital savings of futures across an expanded portion of the USD interest rate swap curve
Eris Exchange (Eris), a U.S.-based futures exchange offering swap futures as a regulatory-compliant and capital-efficient alternative to OTC swaps, announced the expansion of its flagship Eris Standard U.S. Dollar Interest Rate Swap Future complex on January 11th. This launch follows a record year in 2015 for Eris Exchange in terms of volume, open interest, trade count, and number of participants, as well as the addition of multiple new Liquidity Providers, clearing firms, and execution platforms.
“The Eris product design is best in class – and this launch represents a quantum leap forward in terms of extending the product to a wider set of structures that capture the valuable flexibility previously only found in OTC swaps,” said John Coleman, Director of the Fixed Income Group & Senior Vice President of R.J. O’Brien & Associates.”Now mortgage hedgers can better manage risk in the 12- to 15-year points on the curve, banks can efficiently manage swap spread risk, and insurance companies can address long-dated liabilities.”
The expanded Eris product set is a response to significant demand from market participants and provides end-users with unprecedented OTC swap-like yield curve granularity. Eris Swap Futures can now be used for more accurate hedging, curve trading, and spreading against CME Group Treasury Futures, while providing the compliance, execution and capital efficiency benefits inherent to standardized futures trading and clearing.
Outstanding and newly listed Eris Standards share characteristics including low initial margin until maturity (2-day SPAN), seamless margin offsets with CME Group interest rate futures, Price Alignment Interest (PAI), and the ability to hold contracts up to the Maturity Date – while remaining futures contracts throughout the entire life cycle of the instruments.
Following this launch, Eris Exchange now offers three types of USD Standard Interest Rate Swap Futures:
1) Primary Standard Swap Futures: Eris Standard Swap Futures for five new tenors: 3-, 4-, 12-, 15-, and 20-year contracts, which complement the current set of 2-, 5-, 7-, 10-, and 30-year instruments. Fixed rates for Primary Standards are set to match the coupons of OTC MAC (Market Agreed Coupon) swaps.
2) Ultra Forward Standard Swap Futures: Eris Standard Swap Futures for the same ten tenors as Primary Standards, with forward-starting quarterly Effective Dates for the next five years in addition to ten-year forward-starting contracts. Ultra Forward Standards allow market participants to mimic structures that are common in the OTC swap market, including 10-year forward-starting 10-year swaps, which are popular amongst long-dated hedgers.
3) Invoice Swap Standard Swap Futures: Eris Standard Swap Futures with Maturity Dates that match Treasury bonds deliverable into CME Group Treasury Futures contracts. Invoice Swap Standards are designed to be traded versus CME Group Treasury Futures, and allow market participants to trade swap spreads in a futures-vs-futures alternative to OTC invoice spreads. Margin offsets between Eris Swap Futures and CME Group Treasury Futures may result in 75% margin savings relative to OTC Invoice spreads.
Block and Order Book liquidity is available for all Eris Standard Swap Futures.
