Patented Eris Methodology

Eris MethodologyTM: Proprietary design replicates OTC swap economics.

 


A
Swap NPV
  • Eris is traded/negotiated on price A, per $100k notional
  • Equivalent to NPV of an analogous OTC swap (OIS discounted)
  • Only element that changes continuously throughout trading day
  • Daily settlement of A is based on the Eris Swap Curve, and is anchored to the live order books
B
Historical Fixed
& Floating
Amounts
  • Past accrued fixed and floating amounts since contract inception
  • Changes every 3 months, beginning 3 months after the Effective Date, as time passes through implied swap payment dates
  • May be positive or negative (recieve or pay)
C
Eris PAITM
  • Analogous to interest on collateral of an OTC swap with a $0 threshold CSA
  • Synthetic interest on variation margin, accrues daily at the overnight Fed Funds rate
  • Calculated once per day, prior to market open for the trading day
100
Index Price
  • Indexing price to 100
Eris
Futures
Price
Settlement Value
  • Eris Futures price represents the 'All-In' settlement price