The economics of swaps, the efficiency of futures

ERIS CREDIT & INTEREST RATE FUTURES

ICE’s cash-settled Eris credit and interest rate futures contracts, traded and cleared on the ICE platform, are based on the Eris Methodology™ and product design. The exchange listed futures contracts replicate the economics of credit default swaps and interest rate swaps, offering an efficient and accessible means of trading the swap curves.

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Eris Methodology

Replicates all of the cash flows and economics of analogous OTC Swaps including Price Alignment Interest (PAI)
  • Applies existing models, tools and swap curves for analysis and valuation
All cash flows are consolidated into a single cash flow in the form of variation margin
  • Simple post trade futures workflows
Eris products remain outstanding as futures until the Maturity Date (e.g. 5Y will remain as a futures contract for 5 years)
  • Cash settled at maturity with no risk of physical delivery
  • Futures clearing economics, operations, regulatory treatment throughout contract life
  • Standardization and automatic netting allows for favorable capital treatment under Basel III
Replicates Swap Conventions
  • Interest Rate Swaps: Floating index, day count fractions, reset dates, holiday calendars
  • Credit Default Swaps: First trading date, maturity, coupon date and amounts, credit event

Benefits

Capital Efficiency
  • Margin efficiencies through offsets with correlated products
New Market Participants
  • Participants who cannot trade swaps (e.g. due to mandate restrictions or operational constraints)
  • ETFs and futures-only funds (e.g. CTAs)
New Trading Strategies
  • For both traditional futures market participants and swaps participants
  • Futures vs. underlying swap basis / arbitrage trades
Operational Efficiency
  • Leverages existing futures infrastructure for execution, clearing and trade processing
  • Flexible Block trading
Regulation
  • Operates in a structured, well known futures regulatory environment

Eris futures benefit from capital, margin and operational efficiencies of exchange traded derivatives and provide investors who may not have the operational capabilities or meet the necessary requirements to trade swaps, access to a similar hedging tool.


Credit

Eris Credit Futures
Futures based on Markit CDX and iTraxx indices trade on ICE Futures U.S. and clear on ICE Clear U.S.

*The iTraxx futures contracts to be launched soon.

How Eris Credit Futures Work

ICE credit and OTC specialists explain the Eris product design and trading use cases.

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See The Presentation

Take a look at the cash flow equivalence between an Eris credit futures contract and a cleared or uncleared OTC swap contract reference the same underlying index and maturity. View Now

Read our answers to frequently asked questions around the source, determination and timing of the U.S. Federal Funds Effective Rate that’s used in the calculation of the daily price alignment interest (PAI) included in the ‘C’ value of Eris credit futures contracts. View Now

Reports & Data

Interest Rates

Eris Interest Rate Futures

Futures based on EUR and GBP interest rates trade on ICE Futures Europe and clear on ICE Clear Europe.

An extended set of Eris interest rate futures contracts are available for trading, allowing participants to select certain contract features from a predefined set, such as:

  • Tenor
  • Roll methodology
  • Fixed coupon
  • Floating leg options

View a complete list of Eris Interest Rate Futures Contracts & Codes

By combining the flexibility of the OTC swap market, with the efficiency of exchange traded futures, traders can design custom contracts that are aligned with their investment objectives.

How Eris Interest Rates Work

View the Presentation

Reports & Data

How to Execute

  • WebICE - ICE’s state-of-the-art front end trading platform
  • ICE Block - offering advanced functionality to streamline the submission of off-exchange trades for clearing
  • ISVs - available on a range of ISV front-end platforms

Interested in Trading Eris Futures?

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Disclaimer

The names Markit, CDX, and iTraxx are registered trademarks of the Markit Group of companies and are used by ICE under license. Euribor® and Eonia® are registered trademarks of European Money Markets Institute (EMMI) and are used by ICE under license.

Eris products listed on ICE exchanges are based on the Eris Methodology™, Eris’ product design for constructing capital-efficient futures that incorporates intellectual property, expertise and patent-pending innovations.