ICE’s cash-settled Eris 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 interest rate swaps, offering an efficient and accessible means of trading the swap curves.

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

Benefits

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.

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

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.

Product	Currency
Eris EURIBOR® Interest Rate Future 2 yr, 3 yr, 5yr, 7yr, 10yr, 30yr	6 Month Euro (EUR)
Eris GBP SONIA Interest Rate Future 2 yr, 3 yr, 5yr, 7yr, 10yr, 30yr	6 Month Pound Sterling (GBP)

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.

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

Trade Eris Futures

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.