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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 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 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.

Access to Eris Swap futures products does not need to be explicitly permissioned in Access Manager.

Contents

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.

TagFIX NameReqValid ValuesFormatDescription

167

SecurityType

N

FUT=Future

OPT=Option

IRS=Interest Rate Swap

FXSPOT=FX Spot

String (6)

Indicates type of instrument.

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.

Eris Swap Futures Product Code

Each Eris Swap futures tenor is a separate product with its own product code as follows:

ProductProduct Code

2 Year Tenor 

3 Year Tenor 

4 Year Tenor 

5 Year Tenor

7 Year Tenor 

10 Year Tenor

12 Year Tenor

15 Year Tenor

20 Year Tenor

30 Year Tenor

LIT

LIC

LID

LIW

LIB

LIY

LII

LIL

LIO

LIE

Example: LITM18 (2Y June 2018)

Contract Month Convention

The Eris Swap futures instrument name (MDP 3.0 tag 55-Symbol; iLink tag 107-SecurityDesc) references the starting month of the contract-grade swap exposure. This means that the last day of trading and the final settlement date is forward from the contract month by the tenor of the contract-grade swap.

For example, the last trade and final settlement dates for the December 2018 5 Year Eris Swaps future is in December 2023.

Customers should note the named month (e.g., LITZ18) in the external name in MDP 3.0 tag 55-Symbol and iLink tag 107-SecurityDesc does not reflect the last trade date.

The instrument last trade date can be found by leveraging FIX tags 865=7 (Last eligible trade date) and 1145-EventTime in the Security Definition (tag 35-MsgType=d) message.

On/Off The Run Convention

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 (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 first and second, and between the second and third nearest quarterly contracts, for example: June-Sep and Sep-Dec.

Buy 1 calendar means Buy 1 front month leg and Sell 1 back month leg (+1:-1 ratio).

Construction: Buy1exp1 Sell1exp2

Example: Buy the Spread

Buy 1 December 2018 2 Year Eris Swap futures

Sell 1 March 2019 2 Year Eris Swap futures

Security Definition Example: LITZ18-LITH19

Example: Sell the Spread

Sell 1 December 2018 2-Year Eris Swap futures

Buy 1 March 2019 2-Year Eris Swap futures

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 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 Swap futures contract methodology to convert prices to the NPV of future flows is as follows: 

A(NPV) = Trade Price - 100 - B + C
ASwap NPVThe present value of future cash flows; can be negative or positive
BHistorical Fixed and Floating AmountsPast cash flows, which remain in the contract settlement price
CEris PAITMAccumulated overnight interest on “A”, replicating interest on collateralized variation margin in OTC
100Index PriceTo index price to 100 rather than zero
Trade PriceSettlement ValueThe 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.

PAI is accumulated overnight interest on the NPV of future cash flows, calculated using the overnight Fed Funds rate, analogous to the interest payment that would be paid (or received) on the pledged collateral received (or posted) for the equivalent collateralized Over the counter (OTC) swap.

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