We are pleased to announce an updated working paper titled
ERIS futures: Analysis and pricing
is available in our muRisQ 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.