Eris patents OTC swap-like IR future that calculates collateral interest in daily VM

Eris Exchange has been awarded a patent that enables a cash-settled futures product to replicate the convexity of an OTC swap by incorporating interest on collateral within daily variation margin payments.

Eris is a US-based futures exchange group that offers swap futures as a capital efficient alternative to traditional OTC interest rate swaps. The exchange uses the invention in its flagship US dollar-denominated Eris Swap Futures contracts that clear at CME. Open interest in these contracts has grown by 65% in the past 18 months.

In addition, Eris has licensed its methodology for use in products on multiple global futures exchanges, including ICE Futures US and ICE Futures Europe. Open interest in all products based on the Eris Methodology now exceeds 200,000 contracts, representing more than 70% of global swap futures open interest.

Read the full release

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