U.S. Pat 6,766,304 & 6,772,132
The market data displayed above represents live, executable bid and offers for OIS-discounted Eris Interest Rate Swap Futures trading on the Eris SwapBook electronic trading platform, and cleared through CME Clearing. Quotes are shown during Eris Exchange market hours (07:00 to 17:00 ET for Eris Standards and 07:00 to 16:30 ET for Eris Flexes). Par Rate Equivalents (ParRateEqvlnt) are calculated using a methodology which uses subjective inputs, including PV01s (Change in value of a contract for a 1bp change in the fixed rate). The Invoice Spread represents the basis point differential between the Eris Standard par rate equivalent and the forward yield of the CTD for the CBOT Treasury Future. For more information contact Eris Exchange sales at 888-587-2699 and select option 2