Cash Flow Equivalence (Rates)

  • Eris contracts match the cash flow economics of plain vanilla OTC LIBOR swaps
  • Like OTC swaps - Eris incorporates a series of fixed and floating payments discounted at OIS, as well as a price alignment interest component, which allows Eris to avoid the convexity bias of other futures
  • Though Eris cash flows are netted into a single payment based on changes in the settlement price, the individual components can be broken out according to the Eris Methodology
  • The stylized example below shows how the cash flows of an OTC swap would be reflected in an Eris contract of the same terms as they cross over a fixed/float payment date


Sample Eris vs. OTC Cash Flow Comparison










Download our cash flow equivalence whitepaper here