Nov 17, 2017 - Eris MethodologyTM proving to be the best structure for swap futures and now represents the majority of a
Open Interest: Strong Growth >65% Growth Since May ‘16
Global Leader in OI
180,000
Highlights
75%
86 Eris Stnd OI Records
160,000
Eris MethodologyTM proving to be the best structure for swap futures and now represents the majority of all swap futures OI
8%
17%
Cash Settled
Deliverable Eris continues to set OI records
Contracts
Eris Methodology 140,000
120,000
100,000 May-16
Standard OI (By Series) 180,000 150,000
Contracts
90,000
May-17
Nov-17
Total OI (By Tenor) Tenor
Open Interest
2017
Diversifying OI across the curve, representing a liquidity tool and long term exposure hedge
2016 2015
120,000
Nov-16
2014 2013
60,000 30,000 0 Nov-14
Nov-15
Nov-16
0 to 2Y
46,836
2+ to 5Y
58,554
5+ to 8Y
44,433
8+ to 11Y
53,181
11+ to 30Y
900
>30Y
369
Total
204,273
Nov-17 Charts as of 11/16/2017
Source: Eris Exchange
1
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Eris Swap Futures: Accelerating Activity Deeper Liquidity, Tighter Bid/Ask
Order Book Liquidity Growth, by Tenor
30,000
10y
2,424
7y
1,261
Front Month Order Book Size (Contracts)
30y
5y
20,000
4y
8,812
3y
3,369
2y 5,223
10,000 14,702
0 4Q15 1Q16 2Q16 3Q16 4Q16 1Q17 2Q17 3Q17 4Q17
40,000
0.80 Order Book Size Inside Market
30,000
0.70
Avg Bid/Ask
20,000
0.60
10,000
0.50
0
Avg Bid/Ask Across Tenors (bps)
Front Month Order Book Size (Contracts)
40,000
0.40 4Q15 1Q16 2Q16 3Q16 4Q16 1Q17 2Q17 3Q17 4Q17
Eris Comfortably Handles OTC
Tightening Bid/Ask Width Observations at Width 4Q17)
Tenor
Frequency of Occurrence
Observations w/in Width (4Q17)
OTC
Eris Swap Futures
w/in Width (2016)
Avg SEF Trade Size
Total Amt Quoted
Avg Inside Market (Best Bid / Offer)
Inside Mkt / Avg SEF
2Y
$165mm
$1197mm
$331 / 267mm
181%
5Y
$85mm
$835mm
$151 / 132mm
167%
10Y
$49mm
$251mm
$61 / 56mm
119%
w/in Width (2015)
100%
92%
80% 60%
50%
40%
38%
20%
Source: Bloomberg & DTCC SDR Data and Eris YTD 2017
0% 0.1
0.2
0.3
0.4
0.5
0.6
0.7
5Y Eris Bid / Ask Width (in bps) Charts as of 11/1/2017
2
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