Eris Swap Futures Inter-Commodity Spreads

CME Group (“CME”) first listed Eris Swap Futures Inter-Commodity Curve Spreads for the 2-, 5, 7-, and 10-Year contracts on trade date Monday June 3, 2019. In addition, CME is listing additional spreads for the 3- and 4-Year contracts on Monday August 12, 2019. These spreads will allow market participants to efficiently execute Eris curve trades (i.e. 5-Year Eris Swap Future vs. 10-Year Eris Swap Future) while eliminating slippage risk that could occur when legging such a spread.

Listing Schedule

May 20, 2019:   2-, 5-, 7-, 10-Year in New Release
June 3, 2019:    2-, 5-, 7-, 10-Year in Production
July 24, 2019:    3-, 4-Year in New Release
Aug 10, 2019:   3-, 4-Year in Production

Implied Eris Swap Futures Spreads—Based on June 2019 Futures Contracts

Spread Name

Futures Contract Legs

Spread Type

Price Ratio*

Leg Quantity Ratio*

External Name

Leg 1

Leg 2

ETR

2-Year vs. 3-Year Eris Swap Futures

IV

1.5000

3:2

ETR 03-02 U19

LITU19

LICU19

ETV

2-Year vs. 7-Year Eris Swap Futures

IV

3.0000

3:1

ETV 03-01 U19

LITU19

LIBU19

ETN

2-Year vs. 10-Year Eris Swap Futures

IV

4.0000

4:1

ETN 04-01 U19

LITU19

LIYU19

EOF

4-Year vs. 5-Year Eris Swap Futures

IV

1.2500

5:4

EOF 05-04 U19

LIDU19

LIWU19

EFV

5-Year vs. 7-Year Eris Swap Futures

IV

1.3333

4:3

EFV 04-03 U19

LIWU19

LIBU19

EFN

5-Year vs. 10-Year Eris Swap Futures

IV

2.0000

2:1

EFN 02-01 U19

LIWU19

LIYU19

EVN

7-Year vs. 10-Year Eris Swap Futures

IV

1.3333

4:3

EVN 04-03 U19

LIBU19

LIYU19

*Leg quantity and price ratios are subject to change. Highlighted ratios are unchanged from prior quarterly expirations.

Going forward, these seven spreads will be listed on the nearby on-the-run Eris contracts (e.g. the contracts nearest to their named contract month). As such, the first trade date for the quarterly listings will be the IMM date preceding the contract’s reference month (for example, the ICSs for the Sep. 2019 Eris contracts would start trading on the June 2019 IMM date, e.g. 6/19/19), and the last trading date will be the business day before the IMM date of the contract’s reference month (for example, the ICSs for the Sep. 2019 Eris contracts, the last trading day would be the day before the Sep. IMM date, e.g. 9/17/19).

Ratios

Spread ratios are calculated and fixed on a quarterly basis using the DV01 of the respective spread legs. DV01 values are pulled from Eris settlement files, and leg quantities are weighted such that DV01 is approximately equal on both sides of the spread. These ratios are published approximately 2-3 weeks before the spreads are listed (e.g. September Eris ICS ratios would be published in mid-August).

Quoting Convention

Eris Inter-Commodity Spreads will be quoted using Net Change on Day convention, whereby prices reference the previous day’s settlement. As such, quotes will be based on the following:


Tick Sizes

The minimum tick for these Eris Inter-Commodity Spreads will be equal to the least common multiple of the On-the-Run minimum ticks.

Tenor

On-the-Run Min. Tick

Spreads at This Minimum Tick

2yr, 3yr

0.002

2v3

4yr, 5yr

0.005

4v5

7yr, 10yr

0.010

2v7, 2v10, 5v7, 5v10, 7v10

Match Algorithm

All Eris ICS trades will use a 100% FIFO Matching Algorithm

Order Type Eligibility

Good Until Canceled (GTC) and Good Until Date (GTD) orders are not eligible for these instruments, due to the Net Change on Day pricing convention. All other order types are acceptable.

ISV Support

CME Direct will support the spreads from the initial listing date. Symbols for other vendors (such as Bloomberg, Refinitiv, TT and Fidessa) will be communicated once available.

Margin Offsets

Margin offsets available of up to 75% on Eris Inter-Commodity Curve Spread trades, depending on the tenors involved. Details by spread are available on the CME margin credit webpage.

Get margin offset details by spread

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