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  • About Eris

The Eris Methodology

The patented Eris Methodology allows for the creation of a listed 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

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 and 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
diagram

Contact us with immediate questions:

1-646-961-4489
questions@erisfutures.com (responses within 60 minutes during U.S. business hours)
Chicago

625 W. Adams, Suite 19-105

Chicago, IL 60661

           

             

 

 

 

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