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    • Contract Dates, Coupons, DV01, PV01
    • Margin
      • Eris Margin
      • Eris/Swaps Portfolio Margining
    • Fees
    • Vendor Codes
    • Block Market Maker List
    • CME Resources
      • Rulebooks
        • Eris SOFR Rulebook
        • Eris BSBY Rulebook
      • CME Swap Futures
      • CME Margin
      • CME Notices page
      • CME Fees
      • CME Block Trades
      • CME Block Market Maker Directory
      • CME Datamine
      • CME Subscriptions
    • Notices
    • Roll and Holiday Calendar
    • Eris Methodology
    • Education Library
  • Data
    • Trade Log
    • Volume & Open Interest
    • Settlement Prices
    • Real-time Data
    • Hedge Ratios
    • Historical Margins
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      • Public File Server
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    • Yield and Price Calculator
    • Live Markets Excel Add-in
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Eris Credit and EUR, GBP Interest Rate Swap Futures

Delivering margin efficient trading opportunities to one of the broadest communities of financial end users in the world

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.

Interest Rate Products Currency Index Symbol
Eris Standard EUR Interest Rate Future EUR 6 month Euribor See spec
Eris Standard GBP Interest Rate Future GBP Annual compounded SONIA See spec
Credit Products Currency Index Symbol
Eris Investment Grade Credit Future USD CDX.NA.IG IG5
Eris High Yield Credit Future USD CDX.NA.HY HY5

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
diagram
 

Traders’ Forum

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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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