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As we head into Q4 of this year and the European market prepares for the implementation of Mifid II, I felt it would be a great time to reflect on recent developments at Eris.
Over the last quarter Eris hit an all-time high of
200,000 contracts ($20bn) of open interest (OI)
in our IRS swap futures contracts cleared by our partners at CME. This major milestone followed 25+ records in Q3, and 50% growth in the OI of our benchmark U.S. dollar IRS contracts over the past year. Indeed, September saw the best trading volume and liquidity year to date. This growth has been fueled by new users joining our market, including real money hedgers, hedge funds, streaming market makers, independent trading firms, and regional dealers.
Contributing to our overall market momentum, Eris was recently awarded a
U.S. patent for the Eris Methodology
, validating and protecting our product design that replicates OTC swaps in a listed futures format. End user clients are increasingly attracted to the unique features of our contract that allows for easy transfer of risk from quarter to quarter or the option to put on a hedge and hold it to maturity, for 5, 10, or up to 30 years. In fact, the Eris Methodology provides such a clean replication of swap risk that hedging clients are increasingly taking advantage of FASB’s recent amendments to ASC815 to seek
hedge accounting treatment for Eris Swap Futures.
In addition, as Mifid II rules come into effect in 2018 and proposed G-SIB capital scoring increases costs for OTC derivative usage, we are seeing a migration of traditional swap market participants to our futures complex. To aid in this OTC-to-listed transition, we continue to enhance our offerings to assist traditional swap users in translating our futures market data into familiar OTC market terms. For example, the
Eris Live Markets MS Excel Add-In
was released in September, allowing clients to directly and easily plug Eris market data into Bloomberg spreadsheets or other proprietary market data and risk management tools.
We are engaged in continued dialog with the market and potential partners in order to provide clients with the leading alternative to OTC cleared swaps, and we look forwarding to sharing more exciting news with you in the coming months.
Good luck in Q4!
Neal Brady
CEO, Eris Exchange
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26 Open Interest Records in Q3
as Eris Participation Diversifies
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The acceleration of OI follows on the heels of increased participation with new trading firms and end users. This contributed to a rise in overall monthly volume.
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Accelerating OI Growth and Increasing Liquidity:
- 73% growth in Standards OI since March, 2016
- 92 open interest records in this period
- $1.7bn transactionable, inside market liquidity on screen, typically at 0.3 - 0.4 bps wide
Increased Activity in Off-The-Run Trading:
- Off-The-Run trading receiving tighter pricing and deeper markets
- Avg RFM bid/ask: ~0.2 bps from mid in 2017, tightening from ~0.25 bps in 2016
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New Functionality and Recent Updates
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We are constantly working to enhance functionality for our users and continue to develop the Eris ecosystem to meet the market's needs. The following summarize notable developments over the past quarter.
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Eris has been awarded a patent on the principal component of its
product design
, the Eris Methodology, by the U.S. Patent and Trademark Office. The patented invention enables a cash-settled futures product to replicate an OTC swap.
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In Q2 we published the Live Eris Swap Curve, which allows the market to easily access a tradeable benchmark LIBOR swap curve in real time. This was made available in an Excel spreadsheet. Expanding on this work, the Live Eris Swap Curve is now accessible using the new ErisLiveMarkets Excel Add-In. The add-in allows users to pull Eris market data into their own models and spreadsheets. Freely available, the data allows users to easily price their own risk, and analyze Eris alongside OTC swaps, cash, and futures products.
The Eris Excel Add-In can be used for various applications including relative value comparisons and streamlining of risk P&L.
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Bloomberg has enhanced its support of Eris products in Trade Order Management Solutions (TOMS). Eris Swap Futures positions may be accurately risked and integrated into users fixed income trading operations without compromising compliance, execution, and downstream functionality.
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Meet Eris at Upcoming Events
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Eris will be participants at conferences, speaking on panels, and attending several events over the next couple of months. We hope to see you there.
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The new series of Eris CDX IG and HY Credit Index futures on ICE have started trading.
CDX.IG:
Eris CDX IG 5Y - Dec 22 S29 became available for trading on Sep 20th.
CDX.HY:
Eris CDX HY 5Y - Dec 22 S29 became available to trade on September 27th. The ‘roll’ will be quoted on screen for approximately 10 days from Sep 27th.
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Copyright © 2017. Eris, Eris Exchange, Eris SwapBook, Eris BlockBox, Eris PAI, Eris Methodology, Eris Pricing Engine and the Eris Logo are trademarks of Eris Exchange and its affiliates. Other trademarks, service marks, trade names, product names and logos contained herein are the property of their respective owners. All Rights Reserved.
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