Eris Exchange Trade Ticker Conventions

Transcription

1 Eris Exchange Trade Ticker Conventions Eris Exchange offers two distinct product groups, Eris Standards and Eris Flexes, that utilize the same 14 character ticker convention, but the ticker creation process is unique to each product. Eris Standards and their ticker symbols are pre-defined by the Eris Control and disseminated to market participants prior to their listing date (see rules for creation below). Eris Flexes are dynamically created instruments that have a ticker symbol assigned by the Eris Exchange matching engine upon a trade occurring in a specified instrument (see rules below). Eris Primary Standards Eris Ultra Forward Standards Eris Invoice Swap Futures Eris Flexes Description Defined set of Eris contracts w ith predetermined fixed rates Defined set of forw ard starting contracts w ith pre-determined fixed rates Defined set of Eris contracts w ith characteristics of the Libor leg of an invoice spread Dynamic creation of spot starting and flexible forw ard starting contracts Effective (s) Next 2 Quarterly IMM s Forw ard starting IMM s out 5 years and an IMM 10 years out Either the first or last delivery date of the related CBOT treasury futures contract Any business day out to 10 years Maturity (s) 2, 3, 4, 5, 7, 10, 12, 15, 20, 30 years follow ing Effective 2, 3, 4, 5, 7, 10, 12, 15, 20, 30 years follow ing Effective Matched to Cash Treasury in future's delivery basket Any business day up to 30 years follow ing Effective KEY FEATURES Product Code Setup Ticker Symbol Creation ZA9102, ZB9103, ZB9104, ZB9105, ZC9107 ZC9110, ZD9112, ZD9115, ZD9120, ZD9130 ZA9202, ZB9203, ZB9204, ZB9205, ZC9207, ZC9210, ZD9212, ZD9215, ZD9220, ZD9230 ZA9903, ZA9906, ZA9909, ZA9912, ZB9903, ZB9906, ZB9909, ZB9912, ZC9903, ZC9906, ZC9909, ZC9912, ZD9903, ZD9906, ZD9909, ZD9912, ZD9803, ZD9806, ZD9809, ZD9812 Uses existing 238 product codes Execution Reporting 14 character Ticker Symbol embedded in the execution report that the platform sends to the counterparties of a trade. Instrument Creation Messaging Defined Instrument details disseminated to all market participants prior to listing date including the Ticker Symbol and the characteristics of the instrument (e.g. Defined Instrument details disseminated to all market participants prior to listing date including the Ticker Symbol and the characteristics of the instrument (e.g. Defined Instrument details disseminated to all market participants prior to listing date including the Ticker Symbol and the characteristics of the instrument (e.g. The platform disseminates an Instrument Creation message to all platform users, including the assigned Ticker Symbol and the characteristics of the instrument (e.g., Rules for Ticker Symbol creation Eris Standards: An Eris Exchange Standard will have a pre-defined 14 digit ticker symbol comprised of Clearing Code Z (+tenor category), Standard contract identifier (9), Primary/Ultra Forward coupon identifier (1 or 2) or Invoice Swap Future identifier (9), Underlying Tenor of the instrument for Primary Standards/Ultra Forwards (02=2YR / 03=3YR / 04=4YR / 05=5YR / 07=7YR / 10=10YR / 12=12YR / 15=15YR / 20=20YR / 30=30YR) or the quarterly maturity of the related treasury future for Invoice Swap Futures (03=March, 06=June, 09=September, 12=December), concatenated with the Period representing the maturity date in YYYYMMDD format. Tenor category will be: ZA = 0 to 2 years Underlying Tenor ZB = 2+ to 5 years Underlying Tenor ZC = 5+ to 10 years Underlying Tenor ZD = 10+ years Underlying Tenor 1 Copyright 2017 Eris Exchange, LLC

2 Example 1: An Eris Primary Standard that has an effective date of the next Quarterly IMM (December 18, 2013), is the primary listed contract, and has an Underlying Tenor of 5 years (Maturity December 18, 2018) will have the pre-defined Ticker Symbol ZB The B denotes that this is the 2+ to 5 years tenor category, the 9 is the standard contract identifier, the 1 is the primary standard code identifier, the 05 is the Underlying Tenor in years, and the is the maturity date in the YYYYMMDD format. Example 2: An Eris Ultra Forward Standard that has an effective date of a forward starting IMM (June 21, 2017) and has a Tenor of 30 years (Maturity June 21, 2047) will have the pre-defined Ticker Symbol ZD The D denotes that this is the 10+ years Underlying Tenor category, the 9 is the standard contract identifier, the 2 is the Ultra Forward code identifier, the 30 is the Underlying Tenor in years, and the is the maturity date in the YYYYMMDD format. Example 3: An Eris Invoice Swap Future that has an effective date of the delivery date of the related CBOT treasury futures contract (June 30, 2016) and has an Underlying Tenor that is 6.6 years (Maturity February 15, 2023) will have the pre-defined Ticker Symbol ZC The C denotes that this is the Underlying Tenor category, the 9 is the standard contract identifier, the next 9 is the Invoice Identifier, the 06 matches the quarterly maturity of the related treasury future (i.e. June) and the is the maturity date in YYYYMMDD format. 2 Copyright 2017 Eris Exchange, LLC

3 The following table contains more detailed examples of Eris Standard Instruments for illustration purposes: Standard Instrument Effective Tenor Coupon Maturity Resulting Ticker Symbol Notes 1 18-Dec-13 2 yr Dec-15 ZA Year Primary Standard 2 18-Dec-13 5 yr Dec-18 ZB Year Primary Standard 3 18-Dec-13 7 yr Dec-20 ZC Year Primary Standard 4 18-Dec yr Dec-23 ZC Year Primary Standard 5 18-Dec yr Dec-43 ZD Year Primary Standard 6 17-Jun-19 2 yr Jun-21 ZA Year Ultra Forward Standard 7 17-Jun-20 3 yr Jun-23 ZB year Ultra Forward Standard 8 20-Jun-18 4 yr Jun-22 ZB Year Ultra Forward Standard 9 16-Jun-21 5 yr Jun-26 ZB Year Ultra Forward Standard Jun-26 7 yr Jun-33 ZC Year Ultra Forward Standard Jun yr Jun-28 ZC Year Ultra Forward Standard Jun yr Jun-29 ZD Year Ultra Forward Standard Jun yr Jun-33 ZB Year Ultra Forward Standard Jun yr Jun-38 ZD Year Ultra Forward Standard Jun yr Jun-49 ZD Year Ultra Forward Standard 16 6-Jul yr Mar-18 ZA T Invoice Swap Future 17 6-Jul yr Aug-20 ZB T Invoice Swap Future Jun yr Dec-22 ZC T Invoice Swap Future Mar yr Aug-25 ZC U10T Invoice Swap Future Jun yr Feb-37 ZD LBT Invoice Swap Future Mar yr May-41 ZD ULBT Invoice Swap Future 3 Copyright 2017 Eris Exchange, LLC

4 Rules for Ticker Symbol creation Eris Flexes: 1. The first new trade for a given maturity date will be issued (by Eris Exchange systems) a ticker symbol comprised of Clearing Code Z(tenor category)0001, concatenated with the Period representing the maturity date in YYYYMMDD format. Tenor category will be: ZA = 0 to 2 years Underlying Tenor ZB = 2+ to 5 years Underlying Tenor ZC = 5+ to 10 years Underlying Tenor ZD = 10+ years Underlying Tenor Example 1: Let us assume that the trade is a 10-year swap initiated on 16-Dec-2010 with effective date of 20-Dec and coupon of As the first trade that carries the maturity date 20-Dec-2020, it will be issued ticker symbol ZC The C denotes that this is in the 5+ to 10 years Underlying Tenor category. 2. New trades with identical effective date, maturity date and coupon to a previous trade will receive the same ticker symbol that the system previously issued for trades with those characteristics. Example 2: All spot-starting, 10-year swap futures with coupon initiated on 16-Dec-2010 will be issued ticker symbol ZC , as they have identical effective date, maturity date and coupon as the previous trade. 3. New trades that fall on the same maturity date as a previous trade, but containing EITHER a unique coupon OR a unique effective date will be issued the next incremental Clearing Code for a given Period. Example 3: If the next 10-year swap future that traded on 16-Dec-2010 carried a coupon of 0.800, it would be issued ticker ZC A subsequent 10-year swap that traded on 16-Dec-2010 with a different coupon, say 0.900, would be issued ticker ZC Copyright 2017 Eris Exchange, LLC

5 The chart below contains more detailed examples of Eris Flexes for illustration purposes: Trade Tenor Coupon Effective (t+2) Maturity Resulting Ticker Symbol 3-Nov yr Nov-10 5-Nov-20 ZC Nov yr Nov-10 5-Nov-20 ZC Nov-10 5 yr Nov-10 5-Nov-15 ZB Nov yr Nov-10 5-Nov-20 ZC Nov-10 2 yr Nov-10 5-Nov-12 ZA Nov yr Nov-10 8-Nov-20 ZC Nov-15 5 yr Nov-15 8-Nov-20 ZB Notes First trade for new maturity date is issued ZC0001, the corresponding tenor code is C to denote the 5+ to 10Y category New Coupon rate for given maturity date is issued ZC0002, corresponding tenor code is C to denote the 5+ to 10Y tenor category First trade for new maturity date, the corresponding tenor code is B to denote the 2+ to 5Y tenor category Trade has same characteristics as Trade 1; receives same ticker symbol. First trade for new maturity date is issued ZA0001, the corresponding tenor code is A to denote the 0 to 2Y tenor category First trade for new maturity date is issued ZC0001, the corresponding tenor code is C to denote the 5+ to 10Y tenor category Common maturity date as Trade 6, but for different Effective and tenor bucket, results in creation of new code ZB0001, with tenor code B used to denote the 2+ to 5Y tenor category 5 Copyright 2017 Eris Exchange, LLC

6 If you have any questions please contact the Eris Control by phone ( ,select option 1), or by Eris Exchange, LLC Legal Notice 1/6/17 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 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 2017 Eris Exchange LLC. All rights reserved. 6 Copyright 2017 Eris Exchange, LLC