- 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
Download our cash flow equivalence whitepaper here.
