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USD Eris Swap Futures now available for trading on CME Group’s Globex platform.

The easy way to trade and manage benchmark interest rate and credit exposures, available on the world’s leading exchanges

Eris Swap Futures utilize the efficiency of futures to deliver unprecedented access to benchmark interest rate and credit swap markets, combining the cash flows, risk profile and tenor granularity of OTC swaps with the transparency and operational ease of trading futures.

Eris Products at CME Group

USD Eris Swap Futures are listed and cleared at CME Group - creating easily accessible trading and cross margining opportunities within the most liquid pool of USD interest rate derivatives in the world.

Unique to Eris contracts is the ability to hold Eris positions for the entire underlying tenor (i.e. up to 30 years for the 30 year contract), ideally suited for both short term trading and long term hedging.

Product Codes & Tick Sizes
Tenor 2Y 3Y 4Y 5Y 7Y 10Y 12Y 15Y 20Y 30Y
Code Prefix LIT LIC LID LIW LIB LIY LII LIL LIO LIE
Date Suffix 3-character suffix, made up of 1-character IMM effective month (Mar, Jun, Sep, Dec: H,M,U,Z), followed by 2-digit effective year (e.g. LIYH19 = Mar19 Eris 10Y, maturing 20 Mar 2029)
Tick size: $/Px $2/0.0020 $5/0.0050 $10/0.0100 $20/0.0200
Standardized Terms:
  • Replicating the cash flows of plain vanilla USD interest rate swaps
  • $100k contract size
  • Predetermined fixed coupons set at contract listing to match the SIFMA Market Agreed Coupon (MAC)
  • Semi-annual fixed rate payments vs floating 3M LIBOR paid quarterly
Multiple Points on the Yield Curve:
  • Liquidity is concentrated into a series of benchmark tenors with quarterly IMM effective dates, available as far out as 9 months forward
  • Underlying tenors include 2, 3, 4, 5, 7, 10, 12, 15, 20, & 30y
Quote Format:
  • Eris trades on a decimal price indexed to 100, settling to 4 decimal places
  • A long position is equivalent receiving fixed on a swap
  • Price tick increments are approximately equal to 1/10 of a basis point in yield (0.001%)
No Physical Delivery:
  • Unique among futures, Eris contracts do not expire or deliver quarterly on the effective date
  • Eris contracts expire at the maturity of the underlying contract tenor
  • Positions in Eris contracts may either be rolled quarterly like other listed derivatives, or held open like OTC swaps
Contracts that have passed their effective date may be traded electronically via anonymous request for quote, or by voice, as block trades.
Click here for CME Group's swap futures pages.

Live Quotes – USD Swap Futures

The Eris Methodology

The patented Eris Methodology allows for the creation of a listed swap futures contract that replicates the cash flows, convexity and functionality of traditional over the counter swaps.

As listed contracts, Eris Swap Futures are available to a wider user base for easy trading and long term hedging purposes.

Eris Futures Price = 100 + A + B - C
Diagram Image
How it works:
  • All of the cash flows of a traditional OTC swap are captured into a 100-indexed futures price
  • Eris futures price = 100 + A + B - C
  • A = Net present value of remaining fixed & floating cash flows
  • B = Historical fixed and floating cash flows, if any
  • C = Accumulated interest on collateral, (PAI/Price Alignment Interest)
  • The Eris buyer has the economic position of a fixed rate receiver
  • Changes in MTM are captured in changes in the A component of the price
  • As cash flows take place, they move out of the A component into the B component
  • To replicate OTC swaps exactly, Eris contracts include the interest on collateral that occurs in OTC swaps; this is captured in the Eris C component

About Eris Innovations

Eris was founded shortly after the global financial crisis on the simple premise that while all risks may be different and complicated, trading and hedging these risks in the most efficient manner is best done with parties trading common instruments, accessible to all.

History:

Following the global financial crisis, end-user access to traditional swap markets became limited with the increase in cost for bespoke OTC products under mandatory clearing and new bank capital rules.

Originally launched as an independent exchange in 2011, Eris introduced an innovative contract design to replicate the exact cash flows and much of the same yield curve granularity as OTC swaps, while also incorporating the operational benefits and cost efficiencies of listed, exchange-traded instruments.

Over the years, Eris has become the leading swap futures complex and we have entered into strategic licensing partnerships with the world largest global exchange groups to offer our proven contract design to the widest possible user audience. In December 2018, our flagship US dollar rate futures moved to CME Group, dramatically expanding the network of user access, and improving liquidity and distribution for Eris products.

Eris Today:

While there remains some need for customized structures better suited to OTC transactions, the vast majority of trading and hedging is simply a transfer of bulk wholesale risk - benchmark rates and credit exposure. Eris offers an efficient format that is easily accessible to all end users.

Today, Eris Innovations incorporates a portfolio of intellectual property and services based on our award winning Eris Methodology® for replicating the convexity and cash flows of OTC swaps in a listed futures format. Though our exchange partners, we now offer interest rate swap futures in USD, EUR, GBP, and ZAR, and credit index futures in USD.

Contact Us

New York

211 East 43rd St., Suite 1600

New York, NY 10017

Chicago

227 West Monroe Street, Suite 2070

Chicago, IL 60606

London

68 King William Street

London, EC4N 7DZ