Eris Launches New Market Data Product

Eris
Exchange has launched a new market data product, Live Eris Swap Curve, which
offers real-time valuations and analytics for Eris Standard Swap Futures.

“The Live
Eris Swap Curve takes advantage of the significant depth of order book
liquidity across the 2-, 3-, 4-, 5-, 7-, 10- and 30-year Eris Primary Standards
contracts to produce high-quality, real-time valuations and analytics across
the entire curve of listed Eris contracts,” says Eris Exchange CEO, Neal Brady.
“From clients modeling trading opportunities, to dealers constructing
proprietary Eris-based swap curves, to clearing firms performing intra-day risk
management, market participants can now take advantage of freely available and
transparent pricing tools that previously required significant investment.”

Anchored on
transactional orders from streaming Eris Swap Futures, and splined into an
OIS-discounted, 3-month Libor swap curve using Eris’ swap pricing engine, the live
swap curve produces intra-day valuations using the same pricing methodology
used by CME to generate daily settlement prices for Eris Swap Futures.

Streaming
theoretical prices for nearly 500 Eris Standard Swap Futures comprises the
primary output for the initial launch, with future phases to include support
for live zero rates and additional price sensitivity analytics.

Brian Fox,
managing director North America sales with Trading Technologies, says, “Eris’
decision to distribute this valuable data and partner with the independent
execution and analytics firms that form the backbone of our industry will help
ensure that the Live Eris Swap Curve gets broad market distribution.”

Eris is
disseminating Live Eris Swap Curve data free of charge through multiple
distribution channels including the Eris SwapBook FIX API, CME Market Data
Platform, erisfutures.com/lookup, an auto-updating Microsoft Excel spreadsheet
and FTP files.

galen@profit-loss.com

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Colin Lambert

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