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Screenshot of a breaking news alert e-mail from Q2 2017
North American multinational network of exchanges and clearing houses Intercontinental Exchange Inc (NYSE:ICE) has today announced that ICE Futures Europe, the UK’s leading multi-asset class derivatives exchange, intends to launch Eris standard interest rate futures contracts denominated in Euro (EUR) and Pound Sterling (GBP) on Monday June 29, 2015.
The new contracts, Eris Standard EUR Interest Rate futures and Eris Standard GBP Interest Rate futures, will trade and clear at ICE Futures Europe and ICE Clear Europe. They are based on the product design of Eris Exchange US dollar-denominated Eris Standard Swap future and Eris Flex Swap future contracts.
Eris interest rate futures contracts replicate all of the cash flows and economics of comparable swaps traded in the over-the-counter market, including Price Alignment Interest (PAI), which are incorporated into a single futures-style variation margin cash flow. Additional contract features include capital, margin and operational efficiencies of exchange-traded, cash-settled futures contracts, without physical delivery risk at maturity.
The futures will trade and clear alongside the ICE Swapnote® complex, which launched in 2001 as the first interest rate swap futures contract, as well as ICE Futures Europe’s extensive European interest rate futures and options portfolio, providing margin efficiencies for customers.
“As the clearing mandate approaches in Europe, market participants are seeking more efficient means to hedge their interest rate exposure. Eris’ unique methodology provides our customers with an innovative, on-exchange solution for replicating the economics of interest rate swaps,” said David Peniket, President & COO, ICE Futures Europe.
In April, ICE launched the first tranche of Eris futures contracts, Eris CDX HY and Eris CDX IG, which replicate the economics of credit default swaps using the Eris MethodologyTM. Both contracts trade and clear at ICE Futures U.S. and ICE Clear U.S. with growing volume and established open interest.
ICE plans to launch Eris iTraxx Main and Eris iTraxx Crossover, during the second half of 2015. In December 2014, ICE entered into a multi-year license agreement with Eris to list futures and options contracts based on the Eris Methodology patent-pending product design on the ICE platform.
For the official announcement from ICE, click here.