An Intercontinental Exchange Company
Intercontinental Exchange’s diverse markets span futures and options on interest rates, commodities, indexes and FX, as well as equities and equity options. These
markets are relied upon by international market participants, along with our post-trade infrastructure. We are uniquely positioned to provide end-to-end risk management
solutions to our customers around the world.
ERIS SWAP FUTURES ON ICE
ICE’s cash-settled futures contracts, based on the Eris product design, replicate the economics
of credit default swaps and interest rate swaps traded and cleared on the ICE platform.
Eris Methodology™
Replicates all of the cash flows and economics of analogous OTC Swaps including Price Alignment
Interest (PAI)
• Apply existing models, tools and swap curves for analysis and valuation
All cash flows are consolidated into a single cash flow in the form of variation margin
• Simple post trade futures workflows
Eris products remain outstanding as futures until the Maturity Date (e.g. 5Y Standard will remain as a
futures contract for 5 years)
• Cash settled at maturity with no risk of physical delivery
• Futures clearing economics, operations, regulatory treatment throughout contract life
• Standardization and automatic netting allows for favorable capital treatment under Basel III
Replicates Swap Conventions
• IRS: Floating index, day count fractions, reset dates, holiday calendars
• CDS: First trading date, maturity, coupon date and amounts, credit event payments
Capital Efficiency
• Margined as a futures contract with offsets to correlated products
Operational Efficiency
• Leverages ICE’s futures infrastructure for execution, clearing and trade processing
Swap Futures on ICE
Futures listed on ICE trade in state-of-the-art markets driven by robust technology including the WebICE front end
or authorized ISVs, ICE mobile and ICE Chat.
ICE operates leading global clearing houses that offer market participants risk mitigation, price transparency, capital
security and operational efficiency across a range of liquid derivatives markets including energy, interest rates,
agriculture, credit, bonds, currency and equities.
ICE Block offers advanced functionality to streamline the submission of off-exchange trades for clearing.
Credit Index Swap Futures
The contracts will launch in the first half of 2015 and will reference an underlying index:
• CDX.NA.IG 5Y
• iTraxx Europe Main 5Y
• CDX.NA.HY 5Y
• iTraxx Europe Crossover 5Y
Interest Rate Swap Futures
The contracts will launch throughout 2015 and will initially include:
SIX MONTH EURIBOR
SIX MONTH GBP LIBOR
• EUR Standards: 2yr, 3yr, 5yr, 7yr & 10yr
• GBP Standards: 2yr, 3yr, 5yr, 7yr & 10yr
• EUR Flexes: up to 10yrs
• GBP Flexes: up to 10yrs
Further Information
[email protected]
Eris products listed on ICE exchanges are based on the Eris Methodology™, Eris’ product design for constructing capital-efficient swap futures that incorporates intellectual property, expertise
and patent-pending innovations.