Eris Products at ICE
Eris futures contracts listed on the ICE platform, replicate the economics of the Markit CDX IG and HY indices as well as EUR and GBP interest rate swaps.
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.
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)
*For credit futures only:
- The A component is a function of the clean price, accrued interest, and an index factor
- A = (Clean Price + Accrued Interest - 100) x Index Factor
- Index Factor = Sum of the weights of the non-defaulted index constituents
- If there have been no defaults in the underlying, the index factor will = 1.0
Traders’ Forum
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Contact us with immediate questions:
Chicago
625 W. Adams, Suite 19-105
Chicago, IL 60661
