About Eris Innovations
Eris Innovations is an intellectual property licensing company that partners with CME Group, ICE and other global exchanges to develop futures and options products based on its patented product design, the Eris Methodology
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Eris Products on CME
Futures contracts that replicate the cash flows and functionality of over-the-counter swaps, suitable for short-term trading or long-term hedging.
- Standardized terms1, with underlying tenors 1-30 years2
- No physical delivery: contracts remain outstanding to underlying tenor maturity
- Futures price format indexed to 100
1. Terms match SIFMA MAC swaps
2. Including aged, off-the-run contracts, there will be expiries every quarter from 3 months to 30 years
CME Conversion of Eris Libor to Eris SOFR Positions
On 30th June, 2023, the ICE 3-month U.S. dollar Libor benchmark index will cease to be published and all subsequent resets of the index after this date will "fallback" to be determined as SOFR plus 26.161 basis points. To facilitate the smooth transition of remaining legacy Eris Libor positions, market participants requested CME consider converting the remaining Eris Libor positions at that time to Eris SOFR positions. Following bilateral conversations with market participants, CME has now published the final plans for this conversion.
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.
As listed contracts, Eris Swap Futures are available to a wider user base as transparent financial instruments for easy trading and long term hedging purposes.
Eris Futures Price = 100 + A + B - C
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