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.

Trade ERIS Now

 

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.

	Product		Currency	Index	Symbol
	Eris CDX HY Credit Future (5 Year) ›		USD	CDX.NA.HY	HY5
	Eris CDX IG Credit Future (5 Year) ›		USD	CDX.NA.IG	IG5

How Eris Credit Futures Work

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

Play Video

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

• End of Day Data
• Daily Data Price