January 7, 2016

BY ELECTRONIC FILING

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

Re: CFTC Regulation 40.2(a) Certification. Notification Regarding the Initial Listing of 

Eris Standard Invoice Swap Futures Contracts (Eris Exchange Submission #2016-03)

(3 of 4)

Dear Mr. Kirkpatrick:

Eris Exchange, LLC (“Eris Exchange” or the “Exchange”) hereby notifies the Commodity Futures Trading 

Commission (the “Commission”), pursuant to Commission Regulation § 40.2, of its listing of the 2T Eris 

Standard Invoice Swap Future; 5T Eris Standard Invoice Swap Future; 10T and U10T Eris Standard 

Invoice Swap Future; and LBT and ULBT Eris Standard Invoice Swap Future Contracts (the 

“Contracts”) on Eris Exchange’s electronic trading platform (“Eris SwapBook”) beginning January 11, 

2016.

This submission contains the following:

1. A summary of the terms of the Contracts (see Section 1);

2. A discussion of the Contracts’ compliance with the relevant Designated Contract Market Core 

Principles (“Core Principles”) as set forth in the Commodity Exchange Act (the “Act”) and 

Commission Regulations (see Section 2);

3. A copy of the Contract Specifications, which shall appear in Exchange Rule 1101 (see Exhibit 

A); and

4. A copy of Exchange Advisory 15-M16 (see Exhibit B).

The listing of these Contracts will not otherwise require the amendments to the Eris Exchange Rulebook. 

1. Summary of the Terms of the Contract

Eris Exchange currently lists Eris Standard Interest Rate Swap Futures Contracts (“Standard Contracts”) 

with tenors of 2, 5, 7, 10, and 30 years. The Exchange is adding the above-referenced new Contracts to 

the existing suite of Standard Contracts. Eris Standard Invoice Swap Futures are an extension of the 

current offering (with similar terms and the same economic characteristics as the Standard Contracts) 

with specific dates and rates that allow users to use futures rather than swaps as one leg of what is 

commonly referred to as an invoice spread trade. The effective date and cash flow alignment date of the 

Contracts align to an underlying treasury security that is within the deliverable basket of a treasury future, 

and the rate corresponds to the coupon of the treasury security. 

All Eris Exchange Standard Contracts, including the submitted Contracts, are cash-settled futures 
Eris Exchange Submission #2016-03 (3 of 4)

Page 2

contracts based on interest rates. The Contracts embeds the economics of a collateralized over-thecounter interest rate swap into a single futures price. The Contracts are independently marked-to-market 

and settled every day by the Chicago Mercantile Exchange, Inc. (“CME Clearing”) based on data from the 

overall interest rate market. The Contracts do not have periodic cash flows like over the counter (“OTC”) 

swaps, but replicate the economics of accrued and expected cash flows in the futures price, resulting in 

cash transfers through the daily variation margin process.

The Contracts embed the economics of a collateralized over-the-counter interest rate swap into a single 

futures price. The value of the Contracts, or the Daily Settlement Price (Futures-Style Price), is based 

upon the difference between a stream of semi-annual fixed interest payments and a stream of quarterly 

floating interest payments based on 3-month dollar LIBOR, over a term to maturity. There are four 

components to each Contract’s value: (1) the 100 basis price is; (2) added to the net present value (NPV) 

of the future cash flows at the time of settlement; (3) plus the value of historical fixed and floating swap 

payments; (4) minus the accumulated interest paid on variation margin referred to as Price Alignment 

Interest, PAI, or Eris PAITM. 

For additional information, detailed contract specifications are attached hereto at Exhibit A.

2. Core Principle Compliance

Core Principle 2 – Compliance with Rules

The Exchange will continue to comply with Core Principle 2 for the following reasons. First, impartial 

access to the Exchange, and thus trading of the Contracts by Participants, is governed by Chapter 3 and 

Rule 207 of the Eris Exchange Rulebook (the “Rulebook”), which establishes the Exchange Participant 

Committee. Under Rule 207 the “Exchange Participant Committee shall not, and shall not permit the 

Exchange to, restrict access or impose burdens on access in a discriminatory manner, within each 

category or class of Participants or between similarly-situated categories or classes of Participants.” 

Likewise, under Rule 314, any person initiating or executing a transaction in the Contract consents to the 

jurisdiction of the Exchange.

Moreover, abusive trading practices in the Contract are prohibited by Chapter 5 of the Rulebook. The 

Rulebook is enforced by the Exchange’s Market Regulation Department, and under agreement with the 

National Futures Association. Chapter 7 of the Rulebook sets forth the rules governing both the 

investigations and prosecutions of Rule violations. Pursuant to Rule 208, the Regulatory Oversight 

Committee (1) ensures that the Market Regulation Department has sufficient resources to perform its 

obligations, and (2) oversees the Exchange’s regulatory program. 

Additionally, Chapter 4 provides the Exchange with the ability and authority to obtain any information 

necessary to perform its obligations under Core Principle 2 and under Rule 215 the Exchange has the 

authority carry out information sharing agreements.

Core Principle 3 – Contracts Not Readily Subject to Manipulation

The cash settlement of the Contracts upon expiration ensures the Contracts are not readily subject to 

manipulation or distortion. The final settlement price is determined by the accumulation of fixed and 

floating payments made during the life of the contract (inclusive of Eris PAI), with such floating payments 

based on LIBOR fixings that are determined by market factors external to trading on Eris Exchange, as 

administered by the third-party ICE Benchmark Administration (IBA). Because there is no reliance on 
Eris Exchange Submission #2016-03 (3 of 4)

Page 3

delivery of a commodity with limited available supply, there is no basis on which a would-be wrongdoer 

would be able to manipulate or squeeze or congest a futures contract final settlement, or attempt to do 

so.

Core Principle 4 – Prevention of Market Distortion

Chapter 5 of the Rulebook prohibits Participants from manipulating, distorting the price of, and disrupting 

the cash settlement process of the Contracts. Such Rulebook provisions are enforced by the Market 

Regulation Department.

Core Principle 5 – Position Limits or Accountability 

Pursuant to Rule 533, the reportable level for each discrete commodity code of the Contracts is 3000 

contracts and position accountability for each discrete commodity code of the Contracts is 6000 contracts.

Core Principle 7 – Availability of General Information

The Exchange will publish on its website, www.erisfutures.com, and in its Rulebook accurate information 

concerning the terms and conditions of the Contracts.

Core Principle 8 – Daily Publication of Trading Information

The Exchange will publish on its website, www.erisfutures.com, daily trading volume, open interest, and 

price information pertaining to the Contracts.

Core Principle 9 – Execution of Transactions

The Contracts will be listed for trading on Eris SwapBook, which provides for efficient, competitive, and 

open execution of transactions. All trades must be executed on Eris SwapBook unless executed pursuant 

to and in conformance with Rulebook Chapter 6 (Privately Negotiated Transactions).

Core Principle 10 – Trade Information

Pursuant to Exchange Procedures, all information pertaining to trading of the Contracts will be retained in 

a manner that enables the Exchange to use the information to assist in the prevention of customer and 

market abuses and to provide evidence of any violations of the rules of the contract market.

Core Principle 11 – Financial Integrity of Transactions

The Contracts will be cleared by CME Clearinghouse, which is a registered derivatives clearing 

organization. Exchange Rulebook Chapter, and Exchange Rules 404, 408, and 215 ensure the financial 

integrity of futures commission merchants and introducing brokers as well as the protection of customer 

funds, to the extent that such entities and funds are associated with the trading the Contract.

Core Principle 12 – Protection of Markets and Market Participants

Chapter 5 of the Rulebook establishes rules to protect Participants who trade the Contracts from abusive 

practices by parties, including those operating as agents of the Participants and promotes fair and 

equitable trading in the Contracts. The Exchange’s Market Regulation Department, in conjunction with 
Eris Exchange Submission #2016-03 (3 of 4)

Page 4

the National Futures Association, routinely monitors and surveils trading activity. 

Core Principle 13 – Disciplinary Procedures

Chapter 7 of the Rulebook sets forth the rules related to the investigation and prosecution of potential rule 

violations in the trading of the Contracts. Additionally, Chapter 7 sets forth potential sanctions for rule 

violations. 

Conclusion

The Exchange certifies that the listing of the Contracts complies with the Act and rules thereunder. The 

Exchange certifies that this submission has been concurrently posted on the Exchange’s website at 

http://www.erisfutures.com/cftc-submissions.

In the event that you have questions, please contact me at the information below.

Sincerely,

Laurian Cristea

Chief Regulatory Officer, and

Head of Legal and Regulatory Affairs

laurian.cristea@erisfutures.com

T 646.961.4487
Exhibit A

Product Specifications for 

2T Eris Standard Invoice Swap Future; 5T Eris Standard Invoice Swap Future; 10T and U10T Eris 

Standard Invoice Swap Future; and LBT and ULBT Eris Standard Invoice Swap Future Contracts
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2T Eris Standard Invoice Swap Futures: 

Contract Specifications

Trading Hours Regular Trading Hours (RTH):

Monday – Friday; 7:00 am to 5:00 pm Eastern Time

Contract Description Each Eris Standard Invoice Swap Future will be listed with an 

Effective Date matching the Delivery Date of the 2Y Treasury 

Note Futures Contract (“2Y Treasury Future”) and a Maturity 

Date of a specified Treasury security that falls within the 

deliverable basket of that 2Y Treasury Future. Multiple Eris 

contracts will be listed to match different Maturity Dates within a 

given deliverable basket. 

Contract Structure $100,000 notional principal whose value is based upon the 

difference between a stream of semi-annual fixed interest 

payments and a stream of quarterly floating interest payments 

based on 3 month US Dollar LIBOR, over a term to maturity.

Contract Short Name 2T ISF <MM/DD/YY – MM/DD/YY>, where “2T” references the 

2Y Treasury Future, “ISF” represents “Invoice Swap Future” and 

the <MM/DD/YY – MM/DD/YY> matches the Effective Date and 

Cash Flow Alignment Date of the Eris contract

For example, an Eris Standard Invoice Swap Future with dates 

matching a treasury security in the eligible deliverable basket of 

the Mar 2016 2Y Treasury Future will have a Contract Short 

Name of “2T ISF 04/05/16-12/31/17”

Fixed Rate Pre-determined rate set by Eris Exchange, which will remain 

static throughout the life of the contract 

Contract Size 1 Contract = 1 lot = $100,000 face 

Trading Conventions Buy = Pay Fixed 

Sell = Receive Fixed 

Swap Futures Leg 

Conventions

Fixed Leg

 Reset Frequency Semi-Annual

 Day Count Convention 30/360

 Currency USD

 Holiday Calendar(s) New York, London

 Business Day Convention Modified Following with 

adjustment to period end 

dates

Floating Leg

 Reset Frequency Quarterly

 Day Count Convention Actual/360

 Currency USD 
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 Holiday Calendar(s) New York, London

 Business Day Convention Modified Following with 

adjustment to period end 

dates

Effective Dates Either first or last delivery date for the related CBOT treasury 

futures contract.

First Delivery Date: First business day of Mar, Jun, Sep or Dec

Last Delivery Date: Third business day of Apr, Jul, Oct, or Jan

Cash Flow Alignment 

Date (“CFAD”)

Date matching the Maturity Dates of a treasury security in the 

eligible delivery basket for the 2Y Treasury Future. 

Maturity Date The final date to which fixed and floating amounts accrue. The 

last date of the contract. 

Maturity Date is determined by applying the Modified Following 

rule to the Cash Flow Alignment Date. If the Cash Flow 

Alignment Date is a non-business day in either NY or London, 

go forward to the next day that is a business day in both NY and 

London. If the next valid business day is in the following month, 

the preceding valid business day on both the NY and London 

holiday calendars will be the Maturity Date. 

Eris PAITM accrues up to and including the Maturity Date.

The Maturity Date may also be referred to as Termination Date.

Underlying Tenor The duration of time from the Effective Date to the Cash Flow 

Alignment Date.

Remaining Tenor The duration of time from today to the Cash Flow Alignment 

Date. 

Reset Dates Dates utilized to determine fixed and floating amounts 

throughout the life of the Contract. Reset Dates define the 

beginning and end of fixed and floating interest accrual periods. 

Floating Rate Reset Dates facilitate the determination of the 

LIBOR Fixing Dates. 

The Cash Flow Alignment Date will be used as the basis for 

determining Reset Dates. Each Reset Date is subject to 

adjustment based on Modified Following convention.

 For example, if the CFAD is 06/30/2022, the Reset 

Dates will be on the 30th of June, September, December 

and March, subject to the Modified Following convention.

Last Trading Day The last day on which the Contract can be traded is the NY 
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business day preceding the Maturity Date.

First LIBOR Fixing

Date

2 London business days prior to the Effective Date.

Other LIBOR Fixing

Dates

For all periods other than the first floating rate period, the LIBOR 

Fixing Date is 2 London business days prior to each Reset 

Date.

Floating Rate Index: 

First Period 

3 Month USD LIBOR announced by the ICE Benchmark 

Administration Limited (IBA).

For all contracts with a short front stub period of less than 3 

months between the Effective Date and the first Reset Date, the 

first LIBOR Fixing Rate is determined using linear interpolation 

based on the two LIBOR indices that surround the Stub Period 

on the first LIBOR Fixing Date.

The following USD LIBOR indices will be used to determine the 

fixing rate for a stub period: Overnight, 1 Week, 1 Month, 2 

Month and 3 Month.

 For example, the first LIBOR fixing rate for a contract 

with a stub period of 45 days will be interpolated 

between the 1 month and 2 month LIBOR rates.

Floating Rate Index 3 Month USD LIBOR announced by the ICE Benchmark 

Administration Limited (IBA).

Daily Settlement 

Price

(Futures-Style Price) 

Eris Interest Rate Swap Futures are priced on a basis of 100, 

similar to market practice for bonds and other futures contracts. 

The settlement value for each Contract is defined as: 

St = 100 + At + Bt - Ct

St = settlement price at time t

At = net present value of the future cash flows at 

 time t, based on OIS discounting

Bt = value of the historical fixed and floating amounts

 since contract inception

Ct = Eris Price Alignment Interest (or Eris PAITM).

Eris Exchange and CME Clearing calculate Daily Settlement 

Price to 4 decimals of precision (e.g., 100.1234).

Eris PAITM is a cumulative value calculated daily by applying the 

overnight fed funds effective rate to the contract’s NPV, using 

an Actual/360 day-count convention. Eris PAITM will start 

accruing on the first listing date.

Final Settlement Price Sfinal = 100+Bfinal-Cfinal

Sfinal = Settlement price at maturity 
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Bfinal = Historical fixed and floating amounts since

 contract inception through maturity

Cfinal = Eris PAITM, at maturity

Quoting Convention Net Present Value (NPV) per Contract will be used for trade 

execution.

NPV is expressed in per contract terms for the Buyer (fixed rate 

payer).

Each Swap Future negotiated in NPV terms has an implicit 

futures-style trade price of

Trade Price = 100 + Anegotiated + Bt − Ct

where Anegotiated is the NPV per Contract agreed upon between 

the counterparties (divided by 1,000 to normalize units to $100 

face amount), Btis the value of the historical fixed and floating 

amounts, and Ctis Eris PAITM at time t.

The B and C components are calculated and applied by the 

Exchange, and are not subject to negotiation by the 

counterparties.

Eris Exchange calculates Eris PAITM for all trades executed 

between 8:30am and 5:00pm ET during RTH using the 

overnight fed funds effective rate that was published on the 

morning of the trade date. For all other trades, Eris PAITM is 

calculated using the overnight fed funds rate that was published 

on the morning of the previous trade date.

The NPV per Contract can be negotiated in the following 

increments/tick sizes:

 $1 for Contracts where the lesser of Remaining 

Tenor/Underlying Tenor is less than 2 years.

Block Trades Eris Interest Rate Swap Futures are eligible to be traded as 

privately negotiated, off-exchange Block Trades and reported to 

Eris Exchange.

Block Trades may be executed at any time, including times in 

which the public auction market is closed.

Block Trades must be executed and reported pursuant to Rule 

601 in the Eris Exchange Rulebook.

Current block trade thresholds are as follows and are subject to 

change:

 A multiple leg Block Trade is permitted as long as the 

sum notional of the legs that are transacted 
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simultaneously meets the minimum quantity threshold 

for the leg with the shortest Remaining Tenor.

Minimum Block Size

Remaining 

Tenor

Trading Hours: RTH Trading Hours: OTH

Less than 5 

years

$10mm notional 

100 contracts

$1.0mm notional

10 contracts

5 years or more $10mm notional

100 contracts

$0.5mm notional

5 contracts

Eris Exchange will publicly report all Block Trades (instrument, 

price, quantity) immediately upon successful receipt of the trade 

details from the party reporting the trade.

Exchange of 

Derivatives for 

Related Positions

Eris Interest Rate Swap Futures are eligible to be traded as 

privately negotiated, off-exchange Exchange of Derivatives for 

Related Positions (EDRPs) and reported to Eris Exchange.

EDRP’s may be executed at any time, including times in which 

the public auction market is closed.

EDRPs must be executed pursuant to Rule 602 in the Eris 

Exchange Rulebook.

There are no minimum quantity thresholds required for EDRP’s.

Eris Exchange does not report EDRP’s publicly during the 

trading day; however, activity from EDRP’s is reflected in the 

Exchange volume and open interest values published at the end 

of each trading day. 

Ticker Symbol 

Convention

6 character Product Code followed by 8 character Maturity Code

Product Code will contain Tenor Category, Invoice identifier and 

maturity month of the reference CBOT treasury future

Tenor Category: ZA = Underlying Tenor greater than zero and 

less than or equal to two years

Invoice Identifier: 99

Related CBOT Treasury Futures maturity month: 03, 06, 09 or 

12 for Mar, Jun, Sep or Dec, respectively (i.e. ZA9903, ZA9906, 

ZA9909, ZA9912)

Maturity Code: YYYYMMDD

Example: A 2T Eris Standard Invoice Swap Future related to the 
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Mar 2016 2Y Treasury Future and a Maturity Date of 

12/29/2017 will have a ticker symbol ZA990320171229. 

Listed Spreads Listed Spreads (or Discrete Spreads), composed of Standard 

Contracts, may be traded using the SwapBook Discrete Spread 

functionality.

Eris Exchange, LLC – Legal Notice 01/11/16

Certain elements of the contract design and pricing construct are patent-pending.

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 

Commodity 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, Eris Exchange and the Eris Logo are registered trademarks of Eris Exchange, LLC or its affiliates. Eris SwapBook, Eris 

BlockBox, Eris Methodology and Eris PAI are trademarks of Eris Exchange, LLC or its affiliates.

The 2Y Treasury Note Futures Contract is listed on the Chicago Board of Trade, a Designated Contract Market that is unaffiliated 

with Eris Exchange, LLC. CBOT® is a registered trademark of the Board of Trade of the City of Chicago, Inc.

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© 2016 Eris Exchange, LLC. All rights reserved.
1

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5T Eris Standard Invoice Swap Futures: 

Contract Specifications

Trading Hours Regular Trading Hours (RTH):

Monday – Friday; 7:00 am to 5:00 pm Eastern Time

Contract Description Each Eris Standard Invoice Swap Future will be listed with an 

Effective Date matching the Delivery Date of the 5Y Treasury 

Note Futures Contract (“5Y Treasury Future”) and a Maturity 

Date of a specified Treasury security that falls within the 

deliverable basket of that 5Y Treasury Future. Multiple Eris 

contracts will be listed to match different Maturity Dates within a 

given deliverable basket. 

Contract Structure $100,000 notional principal whose value is based upon the 

difference between a stream of semi-annual fixed interest 

payments and a stream of quarterly floating interest payments 

based on 3 month US Dollar LIBOR, over a term to maturity.

Contract Short Name 5T ISF <MM/DD/YY – MM/DD/YY>, where “5T” references the 

5Y Treasury Future, “ISF” represents “Invoice Swap Future” and 

the <MM/DD/YY – MM/DD/YY> matches the Effective Date and 

Cash Flow Alignment Date of the Eris contract

For example, an Eris Standard Invoice Swap Future with dates 

matching a treasury security in the eligible deliverable basket of 

the Mar 2016 5Y Treasury Futures contract will have a Contract 

Short Name of “5T ISF 04/05/16-05/31/20”

Fixed Rate Pre-determined rate set by Eris Exchange, which will remain 

static throughout the life of the contract 

Contract Size 1 Contract = 1 lot = $100,000 face 

Trading Conventions Buy = Pay Fixed 

Sell = Receive Fixed 

Swap Futures Leg 

Conventions

Fixed Leg

 Reset Frequency Semi-Annual

 Day Count Convention 30/360

 Currency USD

 Holiday Calendar(s) New York, London

 Business Day Convention Modified Following with 

adjustment to period end 

dates

Floating Leg

 Reset Frequency Quarterly

 Day Count Convention Actual/360

 Currency USD 
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 Holiday Calendar(s) New York, London

 Business Day Convention Modified Following with 

adjustment to period end 

dates

Effective Dates Either first or last delivery date for the related CBOT treasury 

futures contract.

First Delivery Date: First business day of Mar, Jun, Sep or Dec

Last Delivery Date: Third business day of Apr, Jul, Oct, or Jan

Cash Flow Alignment 

Date (“CFAD”)

Date matching the Maturity Dates of a treasury security in the 

eligible delivery basket for the 5Y Treasury Future. 

Maturity Date The final date to which fixed and floating amounts accrue. The 

last date of the contract. 

Maturity Date is determined by applying the Modified Following 

rule to the Cash Flow Alignment Date. If the Cash Flow 

Alignment Date is a non-business day in either NY or London, 

go forward to the next day that is a business day in both NY and 

London. If the next valid business day is in the following month, 

the preceding valid business day on both the NY and London 

holiday calendars will be the Maturity Date. 

Eris PAITM accrues up to and including the Maturity Date.

The Maturity Date may also be referred to as Termination Date.

Underlying Tenor The duration of time from the Effective Date to the Cash Flow 

Alignment Date.

Remaining Tenor The duration of time from today to the Cash Flow Alignment 

Date. 

Reset Dates Dates utilized to determine fixed and floating amounts 

throughout the life of the Contract. Reset Dates define the 

beginning and end of fixed and floating interest accrual periods. 

Floating Rate Reset Dates facilitate the determination of the 

LIBOR Fixing Dates. 

The Cash Flow Alignment Date will be used as the basis for 

determining Reset Dates. Each Reset Date is subject to 

adjustment based on Modified Following convention.

 For example, if the CFAD is 06/30/2022, the Reset 

Dates will be on the 30th of June, September, December 

and March, subject to the Modified Following convention.

Last Trading Day The last day on which the Contract can be traded is the NY 
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business day preceding the Maturity Date.

First LIBOR Fixing

Date

2 London business days prior to the Effective Date.

Other LIBOR Fixing

Dates

For all periods other than the first floating rate period, the LIBOR 

Fixing Date is 2 London business days prior to each Reset 

Date.

Floating Rate Index: 

First Period 

3 Month USD LIBOR announced by the ICE Benchmark 

Administration Limited (IBA).

For all contracts with a short front stub period of less than 3 

months between the Effective Date and the first Reset Date, the 

first LIBOR Fixing Rate is determined using linear interpolation 

based on the two LIBOR indices that surround the Stub Period 

on the first LIBOR Fixing Date.

The following USD LIBOR indices will be used to determine the 

fixing rate for a stub period: Overnight, 1 Week, 1 Month, 2 

Month and 3 Month.

 For example, the first LIBOR fixing rate for a contract 

with a stub period of 45 days will be interpolated 

between the 1 month and 2 month LIBOR rates.

Floating Rate Index 3 Month USD LIBOR announced by the ICE Benchmark 

Administration Limited (IBA).

Daily Settlement 

Price

(Futures-Style Price) 

Eris Interest Rate Swap Futures are priced on a basis of 100, 

similar to market practice for bonds and other futures contracts. 

The settlement value for each Contract is defined as: 

St = 100 + At + Bt - Ct

St = settlement price at time t

At = net present value of the future cash flows at 

 time t, based on OIS discounting

Bt = value of the historical fixed and floating amounts

 since contract inception

Ct = Eris Price Alignment Interest (or Eris PAITM).

Eris Exchange and CME Clearing calculate Daily Settlement 

Price to 4 decimals of precision (e.g., 100.1234).

Eris PAITM is a cumulative value calculated daily by applying the 

overnight fed funds effective rate to the contract’s NPV, using 

an Actual/360 day-count convention. Eris PAITM will start 

accruing on the first listing date.

Final Settlement Price Sfinal = 100+Bfinal-Cfinal

Sfinal = Settlement price at maturity 
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Bfinal = Historical fixed and floating amounts since

 contract inception through maturity

Cfinal = Eris PAITM, at maturity

Quoting Convention Net Present Value (NPV) per Contract will be used for trade 

execution.

NPV is expressed in per contract terms for the Buyer (fixed rate 

payer).

Each Swap Future negotiated in NPV terms has an implicit 

futures-style trade price of

Trade Price = 100 + Anegotiated + Bt − Ct

where Anegotiated is the NPV per Contract agreed upon between 

the counterparties (divided by 1,000 to normalize units to $100 

face amount), Btis the value of the historical fixed and floating 

amounts, and Ctis Eris PAITM at time t.

The B and C components are calculated and applied by the 

Exchange, and are not subject to negotiation by the 

counterparties.

Eris Exchange calculates Eris PAITM for all trades executed 

between 8:30am and 5:00pm ET during RTH using the 

overnight fed funds effective rate that was published on the 

morning of the trade date. For all other trades, Eris PAITM is 

calculated using the overnight fed funds rate that was published 

on the morning of the previous trade date.

The NPV per Contract can be negotiated in the following 

increments/tick sizes:

 $1 for Contracts where the lesser of Remaining 

Tenor/Underlying Tenor is less than 2 years.

 $2 for Contracts where the lesser of Remaining 

Tenor/Underlying Tenor is greater than or equal to 2 

years and less than 4 years.

 $5 for Contracts where the lesser of Remaining 

Tenor/Underlying Tenor is greater than or equal to 4 

years and less than 7 years.

Block Trades Eris Interest Rate Swap Futures are eligible to be traded as

privately negotiated, off-exchange Block Trades and reported to 

Eris Exchange.

Block Trades may be executed at any time, including times in 

which the public auction market is closed.

Block Trades must be executed and reported pursuant to Rule 

601 in the Eris Exchange Rulebook.
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Current block trade thresholds are as follows and are subject to 

change:

 A multiple leg Block Trade is permitted as long as the 

sum notional of the legs that are transacted 

simultaneously meets the minimum quantity threshold 

for the leg with the shortest Remaining Tenor.

Minimum Block Size

Remaining 

Tenor

Trading Hours: RTH Trading Hours: OTH

Less than 5 

years

$10mm notional 

100 contracts

$1.0mm notional

10 contracts

5 years or more $10mm notional

100 contracts

$0.5mm notional

5 contracts

Eris Exchange will publicly report all Block Trades (instrument, 

price, quantity) immediately upon successful receipt of the trade 

details from the party reporting the trade.

Exchange of 

Derivatives for 

Related Positions

Eris Interest Rate Swap Futures are eligible to be traded as 

privately negotiated, off-exchange Exchange of Derivatives for 

Related Positions (EDRPs) and reported to Eris Exchange.

EDRP’s may be executed at any time, including times in which 

the public auction market is closed.

EDRPs must be executed pursuant to Rule 602 in the Eris 

Exchange Rulebook.

There are no minimum quantity thresholds required for EDRP’s.

Eris Exchange does not report EDRP’s publicly during the 

trading day; however, activity from EDRP’s is reflected in the 

Exchange volume and open interest values published at the end 

of each trading day. 

Ticker Symbol 

Convention

6 character Product Code followed by 8 character Maturity Code

Product Code will contain Tenor Category, Invoice identifier and 

maturity month of the reference CBOT treasury future

Tenor Category: ZB = Underlying Tenor greater than two years 

and less than or equal to five years

Invoice Identifier: 99

Related CBOT Treasury Futures maturity month: 03, 06, 09 or 

12 for Mar, Jun, Sep or Dec, respectively (i.e. ZB9903, ZB9906, 

ZB9909, ZB9912)
6

www.erisfutures.com © 2016 All Rights Reserved

Maturity Code: YYYYMMDD

Example: A 5T Eris Standard Invoice Swap Future related to the 

Mar 2016 5Y Treasury Future and a Maturity Date of 

05/29/2020 will have a ticker symbol ZB990320200529. 

Listed Spreads Listed Spreads (or Discrete Spreads), composed of Standard 

Contracts, may be traded using the SwapBook Discrete Spread

functionality.

Eris Exchange, LLC – Legal Notice 01/11/16

Certain elements of the contract design and pricing construct are patent-pending.

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 

Commodity 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, Eris Exchange and the Eris Logo are registered trademarks of Eris Exchange, LLC or its affiliates. Eris SwapBook, Eris 

BlockBox, Eris Methodology and Eris PAI are trademarks of Eris Exchange, LLC or its affiliates.

The 5Y Treasury Note Futures Contract is listed on the Chicago Board of Trade, a Designated Contract Market that is unaffiliated 

with Eris Exchange, LLC. CBOT® is a registered trademark of the Board of Trade of the City of Chicago, Inc.

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© 2016 Eris Exchange, LLC. All rights reserved.
1

www.erisfutures.com © 2016 All Rights Reserved

10T and U10T Eris Standard Invoice Swap Futures: 

Contract Specifications

Trading Hours Regular Trading Hours (RTH):

Monday – Friday; 7:00 am to 5:00 pm Eastern Time

Contract Description Each Eris Standard Invoice Swap Future will be listed with an 

Effective Date matching the Delivery Date of the 10Y Treasury 

Note Futures Contract (“10Y Treasury Future”) or the Ultra 10Y

US Treasury Note Futures Contract (“Ultra 10Y Treasury 

Future”) and a Maturity Date of a specified Treasury security 

that falls within the deliverable baskets of those treasury futures. 

Multiple Eris contracts will be listed to match different Maturity 

Dates within a given deliverable basket. 

Contract Structure $100,000 notional principal whose value is based upon the 

difference between a stream of semi-annual fixed interest 

payments and a stream of quarterly floating interest payments 

based on 3 month US Dollar LIBOR, over a term to maturity.

Contract Short Name 10T ISF <MM/DD/YY – MM/DD/YY>, where “10T” references 

the 10Y Treasury Future, “ISF” represents “Invoice Swap 

Future” and the <MM/DD/YY – MM/DD/YY> matches the 

Effective Date and Cash Flow Alignment Date of the Eris 

contract

U10T ISF <MM/DD/YY – MM/DD/YY>, where “U10T” 

references the Ultra 10Y Treasury Future, “ISF” represents 

“Invoice Swap Future” and the <MM/DD/YY – MM/DD/YY> 

matches the Effective Date and Cash Flow Alignment Date of 

the Eris contract

For example, an Eris Standard Invoice Swap Future with dates 

matching a treasury security in the eligible deliverable basket of 

the Mar 2016 10Y Treasury Futures will have a Contract Short 

Name of “10T ISF 03/31/16-11/30/22”

Fixed Rate Pre-determined rate set by Eris Exchange, which will remain 

static throughout the life of the contract 

Contract Size 1 Contract = 1 lot = $100,000 face 

Trading Conventions Buy = Pay Fixed 

Sell = Receive Fixed 

Swap Futures Leg 

Conventions

Fixed Leg

 Reset Frequency Semi-Annual

 Day Count Convention 30/360

 Currency USD

 Holiday Calendar(s) New York, London
2

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 Business Day Convention Modified Following with 

adjustment to period end 

dates

Floating Leg

 Reset Frequency Quarterly

 Day Count Convention Actual/360

 Currency USD 

 Holiday Calendar(s) New York, London

 Business Day Convention Modified Following with 

adjustment to period end 

dates

Effective Dates Either first or last delivery date for the related CBOT treasury 

futures contract.

First Delivery Date: First business day of Mar, Jun, Sep or Dec

Last Delivery Date: Last business day of Mar, Jun, Sep or Dec

Cash Flow Alignment 

Date (“CFAD”)

Date matching the Maturity Date of a treasury security in the 

eligible delivery basket for the 10Y Treasury Futures or the Ultra 

10Y Treasury Future. 

Maturity Date The final date to which fixed and floating amounts accrue. The 

last date of the contract. 

Maturity Date is determined by applying the Modified Following 

rule to the Cash Flow Alignment Date. If the Cash Flow 

Alignment Date is a non-business day in either NY or London, 

go forward to the next day that is a business day in both NY and 

London. If the next valid business day is in the following month, 

the preceding valid business day on both the NY and London 

holiday calendars will be the Maturity Date. 

Eris PAITM accrues up to and including the Maturity Date.

The Maturity Date may also be referred to as Termination Date.

Underlying Tenor The duration of time from the Effective Date to the Cash Flow 

Alignment Date.

Remaining Tenor The duration of time from today to the Cash Flow Alignment 

Date. 

Reset Dates Dates utilized to determine fixed and floating amounts 

throughout the life of the Contract. Reset Dates define the 

beginning and end of fixed and floating interest accrual periods. 

Floating Rate Reset Dates facilitate the determination of the 

LIBOR Fixing Dates. 

The Cash Flow Alignment Date will be used as the basis for 
3

www.erisfutures.com © 2016 All Rights Reserved

determining Reset Dates. Each Reset Date is subject to 

adjustment based on Modified Following convention.

 For example, if the CFAD is 06/30/2022, the Reset 

Dates will be on the 30th of June, September, December 

and March, subject to the Modified Following convention.

Last Trading Day The last day on which the Contract can be traded is the NY 

business day preceding the Maturity Date.

First LIBOR Fixing

Date

2 London business days prior to the Effective Date.

Other LIBOR Fixing

Dates

For all periods other than the first floating rate period, the LIBOR 

Fixing Date is 2 London business days prior to each Reset 

Date.

Floating Rate Index: 

First Period 

3 Month USD LIBOR announced by the ICE Benchmark 

Administration Limited (IBA).

For all contracts with a short front stub period of less than 3 

months between the Effective Date and the first Reset Date, the 

first LIBOR Fixing Rate is determined using linear interpolation 

based on the two LIBOR indices that surround the Stub Period 

on the first LIBOR Fixing Date.

The following USD LIBOR indices will be used to determine the 

fixing rate for a stub period: Overnight, 1 Week, 1 Month, 2 

Month and 3 Month.

 For example, the first LIBOR fixing rate for a contract 

with a stub period of 45 days will be interpolated 

between the 1 month and 2 month LIBOR rates.

Floating Rate Index 3 Month USD LIBOR announced by the ICE Benchmark 

Administration Limited (IBA).

Daily Settlement 

Price

(Futures-Style Price) 

Eris Interest Rate Swap Futures are priced on a basis of 100, 

similar to market practice for bonds and other futures contracts. 

The settlement value for each Contract is defined as: 

St = 100 + At + Bt - Ct

St = settlement price at time t

At = net present value of the future cash flows at 

 time t, based on OIS discounting

Bt = value of the historical fixed and floating amounts

 since contract inception

Ct = Eris Price Alignment Interest (or Eris PAITM).

Eris Exchange and CME Clearing calculate Daily Settlement 

Price to 4 decimals of precision (e.g., 100.1234).

Eris PAITM is a cumulative value calculated daily by applying the 
4

www.erisfutures.com © 2016 All Rights Reserved

overnight fed funds effective rate to the contract’s NPV, using 

an Actual/360 day-count convention. Eris PAITM will start 

accruing on the first listing date.

Final Settlement Price Sfinal = 100+Bfinal-Cfinal

Sfinal = Settlement price at maturity 

Bfinal = Historical fixed and floating amounts since

 contract inception through maturity

Cfinal = Eris PAITM, at maturity

Quoting Convention Net Present Value (NPV) per Contract will be used for trade 

execution.

NPV is expressed in per contract terms for the Buyer (fixed rate 

payer).

Each Swap Future negotiated in NPV terms has an implicit 

futures-style trade price of

Trade Price = 100 + Anegotiated + Bt − Ct

where Anegotiated is the NPV per Contract agreed upon between 

the counterparties (divided by 1,000 to normalize units to $100 

face amount), Btis the value of the historical fixed and floating 

amounts, and Ctis Eris PAITM at time t.

The B and C components are calculated and applied by the 

Exchange, and are not subject to negotiation by the 

counterparties.

Eris Exchange calculates Eris PAITM for all trades executed 

between 8:30am and 5:00pm ET during RTH using the 

overnight fed funds effective rate that was published on the 

morning of the trade date. For all other trades, Eris PAITM is 

calculated using the overnight fed funds rate that was published 

on the morning of the previous trade date.

The NPV per Contract can be negotiated in the following 

increments/tick sizes:

 $1 for Contracts where the lesser of Remaining 

Tenor/Underlying Tenor is less than 2 years.

 $2 for Contracts where the lesser of Remaining 

Tenor/Underlying Tenor is greater than or equal to 2 

years and less than 4 years.

 $5 for Contracts where the lesser of Remaining 

Tenor/Underlying Tenor is greater than or equal to 4 

years and less than 7 years.

 $10 for Contracts where the lesser of Remaining 

Tenor/Underlying Tenor is greater than or equal to 7 

years and less than 20 years.
5

www.erisfutures.com © 2016 All Rights Reserved

Block Trades Eris Interest Rate Swap Futures are eligible to be traded as 

privately negotiated, off-exchange Block Trades and reported to 

Eris Exchange.

Block Trades may be executed at any time, including times in 

which the public auction market is closed.

Block Trades must be executed and reported pursuant to Rule 

601 in the Eris Exchange Rulebook.

Current block trade thresholds are as follows and are subject to 

change:

 A multiple leg Block Trade is permitted as long as the 

sum notional of the legs that are transacted 

simultaneously meets the minimum quantity threshold 

for the leg with the shortest Remaining Tenor.

Minimum Block Size

Remaining 

Tenor

Trading Hours: RTH Trading Hours: OTH

Less than 5 

years

$10mm notional 

100 contracts

$1.0mm notional

10 contracts

5 years or more $10mm notional

100 contracts

$0.5mm notional

5 contracts

Eris Exchange will publicly report all Block Trades (instrument, 

price, quantity) immediately upon successful receipt of the trade 

details from the party reporting the trade.

Exchange of 

Derivatives for 

Related Positions

Eris Interest Rate Swap Futures are eligible to be traded as 

privately negotiated, off-exchange Exchange of Derivatives for 

Related Positions (EDRPs) and reported to Eris Exchange.

EDRP’s may be executed at any time, including times in which 

the public auction market is closed.

EDRPs must be executed pursuant to Rule 602 in the Eris 

Exchange Rulebook.

There are no minimum quantity thresholds required for EDRP’s.

Eris Exchange does not report EDRP’s publicly during the 

trading day; however, activity from EDRP’s is reflected in the 

Exchange volume and open interest values published at the end 

of each trading day. 
6

www.erisfutures.com © 2016 All Rights Reserved

Ticker Symbol 

Convention

6 character Product Code followed by 8 character Maturity Code

Product Code will contain Tenor Category, Invoice identifier and 

maturity month of the reference CBOT treasury future

Tenor Category: ZC = Underlying Tenor greater than five years 

and less than or equal to ten years

Invoice Identifier: 99

Related CBOT Treasury Futures maturity month: 03, 06, 09 or 

12 for Mar, Jun, Sep or Dec, respectively (i.e. ZC9903, ZC9906, 

ZC9909, ZC9912)

Maturity Code: YYYYMMDD

Example: A 10T Eris Standard Invoice Swap Future related to 

the Mar 2016 10Y Treasury Future and a Maturity Date of 

11/30/2022 will have a ticker symbol ZC990320221130. 

Listed Spreads Listed Spreads (or Discrete Spreads), composed of Standard 

Contracts, may be traded using the SwapBook Discrete Spread 

functionality.

Eris Exchange, LLC – Legal Notice 01/11/16

Certain elements of the contract design and pricing construct are patent-pending.

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 

Commodity 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, Eris Exchange and the Eris Logo are registered trademarks of Eris Exchange, LLC or its affiliates. Eris SwapBook, Eris 

BlockBox, Eris Methodology and Eris PAI are trademarks of Eris Exchange, LLC or its affiliates.

The 10Y Treasury Note Futures Contract and the Ultra 10Y US Treasury Note Futures Contract are listed on the Chicago Board of 

Trade, a Designated Contract Market that is unaffiliated with Eris Exchange, LLC. CBOT® is a registered trademark of the Board of 

Trade of the City of Chicago, Inc.

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© 2016 Eris Exchange, LLC. All rights reserved.
1

www.erisfutures.com © 2016 All Rights Reserved

LBT and ULBT Eris Standard Invoice Swap Futures: 

Contract Specifications

Trading Hours Regular Trading Hours (RTH):

Monday – Friday; 7:00 am to 5:00 pm Eastern Time

Contract Description Each Eris Standard Invoice Swap Future will be listed with an 

Effective Date matching the Delivery Date of the US Treasury 

Bond Futures Contract (“Long Bond Future”) or the Ultra US 

Treasury Bond Futures Contract (“Ultra Long Bond Future”) and 

a Maturity Date of a specified Treasury security that falls within 

the deliverable baskets of those treasury futures. Multiple Eris 

contracts will be listed to match different Maturity Dates within a 

given deliverable basket. 

Contract Structure $100,000 notional principal whose value is based upon the 

difference between a stream of semi-annual fixed interest 

payments and a stream of quarterly floating interest payments 

based on 3 month US Dollar LIBOR, over a term to maturity.

Contract Short Name LBT ISF <MM/DD/YY – MM/DD/YY>, where “LBT” references 

the Long Bond Future, “ISF” represents “Invoice Swap Future” 

and the <MM/DD/YY – MM/DD/YY> matches the Effective Date 

and Cash Flow Alignment Date of the Eris contract

ULBT ISF <MM/DD/YY – MM/DD/YY>, where “ULBT” 

references the Ultra Long Bond Future, “ISF” represents 

“Invoice Swap Future” and the <MM/DD/YY – MM/DD/YY> 

matches the Effective Date and Cash Flow Alignment Date of 

the Eris contract

For example, an Eris Standard Invoice Swap Future with dates 

matching a treasury security in the eligible deliverable basket of 

the Mar 2016 Long Bond Future will have a Contract Short 

Name of “LBT ISF 03/31/16-02/15/36”

Fixed Rate Pre-determined rate set by Eris Exchange, which will remain 

static throughout the life of the contract 

Contract Size 1 Contract = 1 lot = $100,000 face 

Trading Conventions Buy = Pay Fixed 

Sell = Receive Fixed 

Swap Futures Leg 

Conventions

Fixed Leg

 Reset Frequency Semi-Annual

 Day Count Convention 30/360

 Currency USD

 Holiday Calendar(s) New York, London

 Business Day Convention Modified Following with 
2

www.erisfutures.com © 2016 All Rights Reserved

adjustment to period end 

dates

Floating Leg

 Reset Frequency Quarterly

 Day Count Convention Actual/360

 Currency USD 

 Holiday Calendar(s) New York, London

 Business Day Convention Modified Following with 

adjustment to period end 

dates

Effective Dates Either first or last delivery date for the related CBOT treasury 

futures contract.

First Delivery Date: First business day of Mar, Jun, Sep or Dec

Last Delivery Date: Last business day of Mar, Jun, Sep or Dec

Cash Flow Alignment 

Date (“CFAD”)

Date matching the Maturity Dates of a treasury security in the 

eligible delivery basket for the Long Bond Future or the Ultra 

Long Bond Future. 

Maturity Date The final date to which fixed and floating amounts accrue. The 

last date of the contract. 

Maturity Date is determined by applying the Modified Following 

rule to the Cash Flow Alignment Date. If the Cash Flow 

Alignment Date is a non-business day in either NY or London, 

go forward to the next day that is a business day in both NY and 

London. If the next valid business day is in the following month, 

the preceding valid business day on both the NY and London 

holiday calendars will be the Maturity Date. 

Eris PAITM accrues up to and including the Maturity Date.

The Maturity Date may also be referred to as Termination Date.

Underlying Tenor The duration of time from the Effective Date to the Cash Flow 

Alignment Date.

Remaining Tenor The duration of time from today to the Cash Flow Alignment 

Date. 

Reset Dates Dates utilized to determine fixed and floating amounts 

throughout the life of the Contract. Reset Dates define the 

beginning and end of fixed and floating interest accrual periods. 

Floating Rate Reset Dates facilitate the determination of the 

LIBOR Fixing Dates. 

The Cash Flow Alignment Date will be used as the basis for 

determining Reset Dates. Each Reset Date is subject to 
3

www.erisfutures.com © 2016 All Rights Reserved

adjustment based on Modified Following convention.

 For example, if the CFAD is 06/30/2022, the Reset 

Dates will be on the 30th of June, September, December 

and March, subject to the Modified Following convention.

Last Trading Day The last day on which the Contract can be traded is the NY 

business day preceding the Maturity Date.

First LIBOR Fixing

Date

2 London business days prior to the Effective Date.

Other LIBOR Fixing

Dates

For all periods other than the first floating rate period, the LIBOR 

Fixing Date is 2 London business days prior to each Reset 

Date.

Floating Rate Index: 

First Period 

3 Month USD LIBOR announced by the ICE Benchmark 

Administration Limited (IBA).

For all contracts with a short front stub period of less than 3 

months between the Effective Date and the first Reset Date, the 

first LIBOR Fixing Rate is determined using linear interpolation 

based on the two LIBOR indices that surround the Stub Period 

on the first LIBOR Fixing Date.

The following USD LIBOR indices will be used to determine the 

fixing rate for a stub period: Overnight, 1 Week, 1 Month, 2 

Month and 3 Month.

 For example, the first LIBOR fixing rate for a contract 

with a stub period of 45 days will be interpolated 

between the 1 month and 2 month LIBOR rates.

Floating Rate Index 3 Month USD LIBOR announced by the ICE Benchmark 

Administration Limited (IBA).

Daily Settlement 

Price

(Futures-Style Price) 

Eris Interest Rate Swap Futures are priced on a basis of 100, 

similar to market practice for bonds and other futures contracts. 

The settlement value for each Contract is defined as: 

St = 100 + At + Bt - Ct

St = settlement price at time t

At = net present value of the future cash flows at 

 time t, based on OIS discounting

Bt = value of the historical fixed and floating amounts

 since contract inception

Ct = Eris Price Alignment Interest (or Eris PAITM).

Eris Exchange and CME Clearing calculate Daily Settlement 

Price to 4 decimals of precision (e.g., 100.1234).

Eris PAITM is a cumulative value calculated daily by applying the 
4

www.erisfutures.com © 2016 All Rights Reserved

overnight fed funds effective rate to the contract’s NPV, using 

an Actual/360 day-count convention. Eris PAITM will start 

accruing on the first listing date.

Final Settlement Price Sfinal = 100+Bfinal-Cfinal

Sfinal = Settlement price at maturity 

Bfinal = Historical fixed and floating amounts since

 contract inception through maturity

Cfinal = Eris PAITM, at maturity

Quoting Convention Net Present Value (NPV) per Contract will be used for trade 

execution.

NPV is expressed in per contract terms for the Buyer (fixed rate 

payer).

Each Swap Future negotiated in NPV terms has an implicit 

futures-style trade price of

Trade Price = 100 + Anegotiated + Bt − Ct

where Anegotiated is the NPV per Contract agreed upon between 

the counterparties (divided by 1,000 to normalize units to $100 

face amount), Btis the value of the historical fixed and floating 

amounts, and Ctis Eris PAITM at time t.

The B and C components are calculated and applied by the 

Exchange, and are not subject to negotiation by the 

counterparties.

Eris Exchange calculates Eris PAITM for all trades executed 

between 8:30am and 5:00pm ET during RTH using the 

overnight fed funds effective rate that was published on the 

morning of the trade date. For all other trades, Eris PAITM is 

calculated using the overnight fed funds rate that was published 

on the morning of the previous trade date.

The NPV per Contract can be negotiated in the following 

increments/tick sizes:

 $1 for Contracts where the lesser of Remaining 

Tenor/Underlying Tenor is less than 2 years.

 $2 for Contracts where the lesser of Remaining 

Tenor/Underlying Tenor is greater than or equal to 2 

years and less than 4 years.

 $5 for Contracts where the lesser of Remaining 

Tenor/Underlying Tenor is greater than or equal to 4 

years and less than 7 years.

 $10 for Contracts where the lesser of Remaining 

Tenor/Underlying Tenor is greater than or equal to 7 

years and less than 20 years.

 $20 for Contracts where the lesser of Remaining 

Tenor/Underlying Tenor is greater than or equal to 20 
5

www.erisfutures.com © 2016 All Rights Reserved

years.

Block Trades Eris Interest Rate Swap Futures are eligible to be traded as 

privately negotiated, off-exchange Block Trades and reported to 

Eris Exchange.

Block Trades may be executed at any time, including times in 

which the public auction market is closed.

Block Trades must be executed and reported pursuant to Rule 

601 in the Eris Exchange Rulebook.

Current block trade thresholds are as follows and are subject to 

change:

 A multiple leg Block Trade is permitted as long as the 

sum notional of the legs that are transacted 

simultaneously meets the minimum quantity threshold 

for the leg with the shortest Remaining Tenor.

Minimum Block Size

Remaining 

Tenor

Trading Hours: RTH Trading Hours: OTH

Less than 5 

years

$10mm notional 

100 contracts

$1.0mm notional

10 contracts

5 years or more $10mm notional

100 contracts

$0.5mm notional

5 contracts

Eris Exchange will publicly report all Block Trades (instrument, 

price, quantity) immediately upon successful receipt of the trade 

details from the party reporting the trade.

Exchange of 

Derivatives for 

Related Positions

Eris Interest Rate Swap Futures are eligible to be traded as 

privately negotiated, off-exchange Exchange of Derivatives for 

Related Positions (EDRPs) and reported to Eris Exchange.

EDRP’s may be executed at any time, including times in which 

the public auction market is closed.

EDRPs must be executed pursuant to Rule 602 in the Eris 

Exchange Rulebook.

There are no minimum quantity thresholds required for EDRP’s.

Eris Exchange does not report EDRP’s publicly during the 

trading day; however, activity from EDRP’s is reflected in the 

Exchange volume and open interest values published at the end 

of each trading day. 
6

www.erisfutures.com © 2016 All Rights Reserved

Ticker Symbol 

Convention

6 character Product Code followed by 8 character Maturity Code

Product Code will contain Tenor Category, Invoice identifier and 

maturity month of the reference CBOT treasury future

Tenor Category: ZD = Underlying Tenors greater than ten years 

Invoice Identifier: 99, 98

The first contract for a specific tenor bucket, Maturity Date and 

related CBOT treasury futures month will be assigned a “99”. 

Thereafter, a contract with the same tenor bucket, Maturity Date 

and related CBOT treasury futures month but different Effective 

Date or coupon will be assigned a “98” Invoice Identifier

Related CBOT Treasury Futures maturity month: 03, 06, 09 or 

12 for Mar, Jun, Sep or Dec, respectively (i.e. ZD9903, ZD9906, 

ZD9909, ZD9912, ZD9803, ZD9806, ZD9809, ZD9812)

Maturity Code: YYYYMMDD

Example: An LBT Eris Standard Invoice Swap Future related to 

the Mar 2016 Long Bond Future and a Maturity Date of 

02/15/2036 will have a ticker symbol ZD990320360215. 

Listed Spreads Listed Spreads (or Discrete Spreads), composed of Standard 

Contracts, may be traded using the SwapBook Discrete Spread 

functionality.
7

www.erisfutures.com © 2016 All Rights Reserved

Eris Exchange, LLC – Legal Notice 01/11/16

Certain elements of the contract design and pricing construct are patent-pending.

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 

Commodity 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, Eris Exchange and the Eris Logo are registered trademarks of Eris Exchange, LLC or its affiliates. Eris SwapBook, Eris 

BlockBox, Eris Methodology and Eris PAI are trademarks of Eris Exchange, LLC or its affiliates.

The US Treasury Bond Futures Contract and the Ultra US Treasury Bond Futures Contract are listed on the Chicago Board of 

Trade, a Designated Contract Market that is unaffiliated with Eris Exchange, LLC. CBOT® is a registered trademark of the Board of 

Trade of the City of Chicago, Inc.

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© 2016 Eris Exchange, LLC. All rights reserved.
Exhibit B

Market Notice #15-M16
TO: Eris Exchange Market Participants

FROM: Market Regulation Department

ADVISORY: #15-M16

DATE: November 20, 2015

SUBJECT: New Product Introduction: Expanded Set of Eris Standard Swap Futures

This Market Notice serves to notify Participants on Eris Exchange, LLC (“Eris Exchange” or “Exchange”) of the 

introduction of the expanded set of Eris Standard Swap Futures, with a target launch date of January 11, 2016, 

subject to applicable regulatory review.

Background

The expanded Eris Standards offering provides more yield curve granularity resulting in more accurate hedging, 

curve trading, and spreading against Treasury Futures. 

Eris Exchange is offering additional tenors (3,4,12,15,and 20 years) in the on-the-run Eris Standards instruments with 

IMM Effective Dates, an expanded list of Eris Standards with IMM Effective Dates out 5 years and with an IMM 

Effective Date 10 years out, and new Eris Standards with dates matching treasury securities in the CBOT Treasury 

Futures’ deliverable baskets.

Overview and Operational Considerations

 On the Run Standards Expanded Set of IMM Standards Standard Invoice Swap Futures

Description Additional On the Run Eris Standards Tenors New Eris Standards with additional 

forward starting IMM Effective Dates

New Eris Standards with characteristics of the 

Libor leg of an invoice spread

Effective Date Next Quarterly IMM Effective Date

Forward starting IMM Effective Dates 

out 5 years and an IMM Effective Date 

10 Years out

Either the first or last delivery date of the 

related CBOT treasury futures contract

Maturity Dates 2,3,4,5,7,10,12,15,20,30 years following 

Effective Date. New Tenors in Bold

2,3,4,5,7,10,12,15,20,30 years following 

Effective Date. New Tenors in Bold

Matched to Cash Treasury in future's delivery 

basket

Margining

Customer Account Setup

CME Position Account Setup

Product Code Setup

ZA9102, ZB9103, ZB9104,

ZB9105, ZC9107, ZC9110, 

ZD9112, ZD9115, ZD9120, 

ZD9130. New Z codes in Bold

ZA9202, ZB9203, ZB9204,

ZB9205, ZC9207, ZC9210,

ZD9212, ZD9215, ZD9220,

ZD9230. New Z codes in Bold

ZA9903, ZA9906, ZA9909, ZA9912,

ZB9903, ZB9906, ZB9909, ZB9912,

ZC9903, ZC9906, ZC9909, ZC9912,

ZD9903, ZD9906, ZD9909, ZD9912,

ZD9803, ZD9806, ZD9809, ZD9812

Margin Offsets

PCS Reporting to CME Clearing

Trade Register Key Features CLEARING SYSTEMS INTEGRATION

2-Day VaR (SPAN)

Expansion of Eris Standards

Use Existing CME Futures customer account

Single segregated customer account within Eris TMF

SPAN spread creditswith CME Eurodollar, Treasury and Deliverable SwapFutures contracts via PCS

FCM Reports under Eris TMF

Firms use existing CME CMF tarde register to view positions
Impact to firms

Operationally, the expanded set of Eris Standards can be handled by market participants in a manner consistent with 

the existing Eris Standards (2Y, 5Y, 7Y, 10Y, and 30Y). With the release of the expanded Eris Standard instruments 

Eris Exchange Clearing Firms need to perform the following actions:

1. Initial Setup

Product Setup

 Configure back-office systems to accommodate the new product codes. Sungard GMI users should 

consult the SunGard Client Service Bulletin when released.

2. Daily Processes

PCS Reporting

Using existing process for Eris Standards instruments, firms designate new Eris Standards positions for margin 

offsets via PCS reporting under the Clearing Firms’ Eris Exchange TMF. Eris Standards are eligible for Margin offsets 

with CME Eurodollar, CME Treasury futures, and CME Deliverable Swap Future instruments via SPAN credits.

HVAR Portfolio Margining – OPTIONAL

Using existing process for designating Eris Standards for HVAR margining, firms designate new Eris Standards 

positions for HVAR margin offsets via customer account mapping at CME clearing operations. Eris Standards are 

eligible for HVAR Margin offsets with Eris Flexes, Eris Standards, CME Eurodollar, and CME Treasury futures.

Firm Testing

The target date for expanded Eris Standards instruments to be available in Eris Exchange’s DEMO and CME New 

Release environments is December 11, 2015. Please contact the Eris Control Center for testing credentials and to 

schedule testing.

For any questions or to coordinate testing, please contact the Eris Control Center, 

ErisControlCenter@erisfutures.com, 888-587-2699, Option 1.