eris bloomberg guide - erisfutures.com click on security and then ... swpm generated market value...

©2017. All Rights Reserved. 04072017

Viewing Eris Interest Rate Swap Futures

Through Bloomberg Professional

© 2017. All Rights Reserved.

Eris <Go>

2


Selecting Option 1 From the Eris Page or by

Typing “Eris1 <Go>”

3

Eris Standards:

NPV quoted forward

starting contracts

Eris Flexes:

Spot starting

benchmark contracts

quoted in rate terms


Consistent Live Pricing of Eris Benchmark

Contracts

4

www.erisfutures.com

Eris SwapBookTM

Depth of Market

(DOM) Tile

ERIS1 <Go>

MDM, BBO

<Go>


Market Depth Monitor (MDM or BBO <Go>)

5

• From Eris Benchmark Contracts

screen, click on security and then

type ‘MDM’ or ‘BBO’ <Go>, or

• Type in Bloomberg ticker

<Comdty> MDM (or BBO) <GO>

• There are multiple Bids

• Example: User wants to hit the bid

for 1500 contracts

• User can hit the Bid of -198 for up

to 1000 contracts

• The remaining 500 contracts must

be hit at -202


Trade/Quote Recap (QR <Go>)

6

• From Eris Benchmark Contracts screen, click on security

and then type ‘QR’ <Go>, or

• Type in Bloomberg ticker <Comdty> QRM <GO>


Trade/Quote Recap (QRM <Go>)

7


and then type ‘QRM’ <Go>, or

• Type in Bloomberg ticker <Comdty> QRM <GO>


Graph Intraday Price (GIP <Go>)

8

• From Eris Benchmark Contracts screen, click on

security and then type ‘GIP’ <Go>, or

• Type in Bloomberg ticker <Comdty> GIP <GO>


Graph Price (GP <Go>)

9


and then type ‘GP’ <Go>, or

• Type in Bloomberg ticker <Comdty> GP <GO>


Eris Contract Description Page (DES <Go>)

10

Select option 3

or type ‘3 <Go>’

for more detailed

contract specs

Select option 9 or type ‘9 <Go>’ to

view price and risk analytics in SWPM

• From Eris Benchmark Contracts screen, click on security and then

type ‘DES’ <Go>, or

• Type in Bloomberg ticker <Comdty> DES <GO>

Effective Date

and Cash Flow

Alignment Date

(CFAD) can be

found in the

‘Related Dates’

section

Select option 10 or type ‘10 <Go>’ to

historical Eris futures prices


‘Notes’ (Option 3) From the Description Page

11

$100k


SWPM Screen Can be Pulled from the DES Page

With Pre-Defined Contract and Curve Settings

12

Dual Curve

Stripping will

default to ‘On’

OIS Curve

(Curve #42)

will be used

for

discounting

Eris pre-loaded

contract specs

for 2Y Stnd

Jun 13

SWPM generated market value per $100,000 notional (including any accrued interest)

Instrument risk

characteristics


“Details” Tab Within the SWPM Screen

13

Bloomberg Roll

Convention defaults to

“Backward (End Of

Month)”. The proper

convention for Eris

contracts is “Backward”.


Creating Internal SWPM IDs for Eris Contracts

14

Saving a contract that has been modeled in

SWPM allows for analytics to be pulled into

spreadsheets (DV01, PV01, fair value, etc…)

This feature can be easily utilized for Eris

benchmark forward starting swap futures

Upon clicking option #32

above (Save), a ‘Save Deal’

box will pop up enabling User

to Save and Share the deal

ID with specific users or the

entire firm

By selecting the ‘Load’ option

(#31) from the main SWPM

screen above, user can view

and select saved swap deals


Viewing Historical Prices, Volume and Open

Interest (HP <GO>)

15

Select “Settlement Price”,

“Contract Volume” and

“Contract Open Interest” from

the Market dropdowns


Utilizing Fixed Income Hedge Ratios (FIHR)

16

85 Eris 10Y Standard

Contracts are required to

hedge 100 10Y Treasury

Futures


Real Time Markets in Excel

17

Streaming Bid

and Ask values

are pulled using

the Bloomberg

Tickers

Par Rate

Equivalents are

computed using

SWPM calculated

PV01s

Eris offers a customized spreadsheet for Bloomberg:

• Streaming prices including market depth

• Historical volume and settlement prices

• Streaming implied Eris invoice spread levels

• Par rate equivalents for NPV quoted Eris Standards

• Implied swap spreads versus OTR cash treasuries

• Current day Eris SwapBook volume for Eris Standards

• Initial margin for Eris Standards

• Risk factors (PV01 and DV01) for Eris Standards


Pricing and Analytics Pulled From Bloomberg

Swap Monitor (SWPM)

18

Internal IDs saved in SWPM

which can be shared with specific

users or with entire firm Hit the “refresh” button on the

Bloomberg toolbar in excel to

update SWPM calculations using

latest market data

• For access to the spreadsheet, contact Eris Exchange Client Services at [email protected]

mailto:[email protected]


Tickers for Eris Contracts Hovering the mouse over a specific contract on the

ERIS1 <GO> brings up the particular ticker

• Bloomberg Tickers identify the type of

instrument, the tenor and in the case of Eris

Standards, the month and year

• Examples for Eris Standards and Flexes are

illustrated below

LITM4 Comdty

ERIS2Y Comdty

‘2Y’

Dictates

the tenor

‘ERIS’

Indicates Instrument as

Eris Flexes contract

‘M’

‘4’

The last

number

of the

effective

year

Ex. 2014

‘T’

Dictates

the tenor

‘LI’

Indicates

Instrument as

Eris Standards

contract

L I T M 4

Eris Standards Example: LITM4 (2Y Stnd Jun 14)

Tenor

2Y = T

5Y = W

7Y = B

10Y = Y

30Y = E

Month Codes

Active* = A

Mar = H

Jun = M

Sep = U

Dec = Z

* The active contract represents the Eris Standards with the fewest days until its Effective Date.

E R I S 2 Y

Eris Flexes Example: ERIS2Y (Spot Starting 2 year)

Tenor

2Y

5Y

10Y

19


Eris Z-Codes on Bloomberg

20

• Historical price information for all Eris Standards and Flexes can be viewed on Bloomberg (and

downloaded into a spreadsheet) via the Bloomberg version of the Eris contract’s z-code

• Eris z-codes contain 3 components and have 14 characters

• Bloomberg’s version of the z-code has two sets of 8 characters separated by a space

• For more detailed information on Eris z-code construction, consult the Eris Exchange Trade

Ticker Conventions

Eris Z-Code Bloomberg ID

Tenor Bucket ZA EIA

Eris Standard ID / Eris Flex Counter 9102, 0001 09102, 00001

Maturity Date YYYYMMDD YYYYMMDD

Security Identifier ZA910220150619 ZA000120150619

EIA09102 20150619 EIA00001 20150619

Bloomberg replaces the ‘Z’ in the Eris Z-Code with an ‘EI’

Bloomberg adds a ‘0’ before the Eris Standard ID / Eris Flex Counter

Bloomberg adds a space in the Comdty Code before the Maturity Date

http://www.erisfutures.com/sites/default/files/Eris Exchange Trade Ticker Conventions_12_4_12.pdf

http://www.erisfutures.com/sites/default/files/Eris Exchange Trade Ticker Conventions_12_4_12.pdf


Eris Exchange Legal Notices

Version Created 04/07/2017

Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage

of a contract’s value is required to trade, it is possible to lose more than the amount of money deposited for a futures position. Therefore, traders

should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any

one trade because they cannot expect to profit on every trade. All references to options refer to options on futures.

Trading on Eris Exchange is limited to those persons who are “eligible contract participants” as defined in § 1a (12) of the Commodities

Exchange Act.

Notice to individuals located in the United Kingdom. The materials contained in this communication are directed only at persons with investment

experience (i.e., “investment professionals”). Persons who do not have professional experience in matters relating to investments should not

rely on any of the information herein. The investment activities to which these materials relate are only available to persons with investment

experience. Any request to engage in the investment activities to which these materials relate, by persons other than those with investment

experience, shall be denied.

Eris Exchange and the Eris Logo are registered trademarks of Eris Exchange, LLC. Eris SwapBook, Eris BlockBox, and Eris PAI are

trademarks of Eris Exchange, LLC.

The information within this document has been compiled by Eris Exchange for general purposes only. Eris Exchange assumes no responsibility

for any errors or omissions. Additionally, all examples in this document are hypothetical situations, used for explanation purposes only, and

should not be considered investment advice, legal advice, or the results of actual market experience. The information contained within this

document does not constitute legal or investment advice.

All matters pertaining to rules and specifications herein are made subject to and are superseded by official Eris Exchange rules. Current rules

should be consulted in all cases concerning contract specifications.

Copyright © 2014 Eris Exchange LLC. All rights reserved.

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