Updated publication: ERIS futures: Analysis and pricing

We are pleased to announce an updated working paper titled

ERIS futures: Analysis and pricing

is available in our muRis_Q Advisory Instrument Analysis series of research papers. The paper is available on SSRN preprint repository at http://ssrn.com/abstract=5666790.

This version contains an update from the October 2025 version which refers to a previous setting mechanism for the daily settlement price. The author thanks ERIS Innovation for providing the basis data discussed in Section 4.3 and useful discussions on the product details.

Abstract

In this note we describe ERIS futures and propose a pricing mechanism for them. Those futures are swap futures associated with OTC cleared swaps. We come to the conclusion that the claim that they ``replicate cash flows of OTC swaps'' is reasonable in theory in the context of the multi-curve framework. The daily settlement price is based on a valuation curve calibrated using a mixture of end of day futures prices and external data. Based on the anchoring of the prices on the short term to SOFR futures and OTC swaps, the replication claim appears also reasonable in practice. We also analysed the possibility of having fully standalone instruments; for that part, our answer is more prudent and mainly negative.

---

Don't hesitate to contact us if you require advisory services related to the interest rate modelling or benchmark transitions.

Multi-curve framework: book and workshops

The publication of the second edition of Marc's book, "Interest Rate Modelling in the Multi-Curve Framework" is getting closer (see details on Marc's blog: https://multi-curve-framework.blogspot.com/p/details.html).

To support the implementation of the framework, we are offering customised in-house workshops. These sessions focus on:  Practical Implementation: Moving from theory to practice. Collateral Integration: Understanding the complex interplay between CSA terms and discounting. Calibration: Available instruments, basis spreads, cross-currency.

The typical training agenda is available here, but we are happy to adjust the content to meet your specific needs. The usual audience are traders, quants, model validators and risk managers who want to understand the foundation of the framework. For questions regarding potential course content, don’t hesitate to contact us.

There will also be some public courses. A 2-day course is planned.

Interest Rate Modelling in the Multi-curve Framework:
Foundations, Evolution, Transition, and Implementation

Warsaw on 18-19 May (see brochure).

The "local" price (PLN 5800) is for the course and lunches. For "international" participants, there is the possibility to include 2 nights accommodation in Bristol Hotel (course, accommodation at Bristol with breakfast, 2 x coffee breaks and lunch during the training; subject to availability) at 1650 EUR/per person. No prepayments (only official registration needed, invoice sent after the training; no VAT tax for EU members). For practical questions regarding the organisation and price of Warsaw’s course, you can contact Tomasz DENDURA

New muRisQ’s corporate swag

You may remember our golf ball collection, starting with this.

We now have a new load with our logo.

Don't hesitate to ask for a sleeve!