10 YR Eris Standard Contract Specifications

>> 10 YR Eris Standard Contract Specifications

Trading Hours	Eris Exchange standard trading hours are currently 8:20 AM to 4:30 PM Eastern Time.
Contract Structure	$1 million notional principal whose value is based upon the difference between a stream of semi-annual fixed interest payments and a stream of quarterly floating interest payments based on 3 month US Dollar LIBOR, over a term to maturity.
Underlying Swap Tenor	10 Years
Fixed Rate	Pre-determined rate set by Eris Exchange which will remain static throughout the life of the contract Determined just prior to quarterly listing Multiple fixed rates may be pre-determined
Contract Size	1 Contract = 1 lot = $1 million face
Trading Conventions	Buy = Pay Fixed Sell = Receive Fixed
Swap Futures Leg Conventions	Fixed Leg Reset Frequency Semi-Annual Day Count Convention 30/360 Currency USD Holiday Calendar(s) New York, London Business Day Convention Modified Following with adjustment to period end dates Floating Leg Reset Frequency Quarterly Day Count Convention Actual/360 Currency USD Holiday Calendar(s) New York, London Business Day Convention Modified Following with adjustment to period end dates
Effective Dates	Quarterly IMM Dates (3^rd Wednesday of each March, June, September, December) Monthly dates as provided by the Exchange in an Exchange Advisory
Cash Flow Alignment Date (“CFAD”)	The date used for aligning all fixed and floating Reset Dates, and for determination of the Maturity Date. CFAD can be derived by adding 10 Years to the Effective Date. For example, an Eris Interest Rate Swap Future with an Effective Date of 09/19/2012 and a tenor of 10 years implies a Cash Flow Alignment Date of 09/19/2022. Note that the Cash Flow Alignment Date may fall on any calendar day, including weekends and holidays. The CFAD is used to determine the Maturity Date, but the two terms are distinct, as the Maturity Date must fall on a valid business day from the joint holiday calendar.
Maturity Date	The final date to which fixed and floating amounts accrue. The last date of the contract. Maturity Date is determined by applying the Modified Following rule to the Cash Flow Alignment Date. If the Cash Flow Alignment Date is a non-business day in either NY or London, go forward to the next day that is a business day in both NY and London. If the next valid business day is in the following month, the preceding valid business day on both the NY and London holiday calendars will be the Maturity Date. Eris PAI^TM accrues up to and including the Maturity Date. The Maturity Date may also be referred to as Termination Date.
Underlying Tenor	The duration of time from the Effective Date to the Cash Flow Alignment Date.
Remaining Tenor	The duration of time from today to the Cash Flow Alignment Date.
Reset Dates	Dates utilized to determine fixed and floating amounts throughout the life of the Contract. Reset Dates define the beginning and end of fixed and floating interest accrual periods. Floating Rate Reset Dates facilitate the determination of the LIBOR Fixing Dates. The Cash Flow Alignment Date will be used as the basis for determining Reset Dates. Each Reset Date is subject to adjustment based on Modified Following convention. For example, if the CFAD is 09/19/2022, the Reset Dates will be on the 19^th of December, March, June and September, subject to the Modified Following convention.
Last Trading Day	The last day on which the Contract can be traded is the NY business day preceding the Maturity Date.
First LIBOR Fixing Date	2 London business days prior to the Effective Date.
Other LIBOR Fixing Dates	For all periods other than the first floating rate period, the LIBOR Fixing Date is 2 London business days prior to each Reset Date.
Floating Rate Index	3 Month USD LIBOR announced by the British Bankers’ Association.
Daily Settlement Price (Futures-Style Price)	Eris Interest Rate Swap Futures are priced on a basis of 100, similar to market practice for bonds and other futures contracts. The settlement value for each Contract is defined as: S_t = 100 + A_t+ B_t- C_t S_t = settlement price at time t A_t = net present value of the future cash flows at time t, based on OIS discounting B_t = value of the historical fixed and floating amounts since contract inception C_t= Eris Price Alignment Interest (or Eris PAI^TM). Eris Exchange and CME Clearing calculate Daily Settlement Price to 4 decimals of precision (e.g., 100.1234). Eris PAI^TM is a cumulative value calculated daily by applying the overnight Fed Funds effective rate to the contract’s NPV, using an Actual/360 daycount convention. Eris PAI^TM will start accruing on the first listing date.
Final Settlement Price	S_final = 100+B_final-C_final S_final = Settlement price at maturity B_final = Historical fixed and floating amounts since contract inception through maturity C_final = Eris PAI^TM, at maturity
Quoting Convention	Net Present Value (NPV) per Contract will be used for trade execution. NPV is expressed in per contract terms for the Buyer (fixed rate payer). Each Swap Future negotiated in NPV terms has an implicit futures-style trade price of Trade Price = 100 + A _negotiated + B_t - C_t where A _negotiated is the NPV per Contract agreed upon between the counterparties (divided by 10,000 to normalize units to $100 face amount), B_tis the value of the historical fixed and floating amounts, and C_tis Eris PAI^TMat time t. The B and C components are calculated once daily and applied by the Exchange, and are not subject to negotiation by the counterparties. The NPV per Contract can be negotiated in the following increments/tick sizes: $10 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is zero to two years. $25 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than two and less than 4 years. $50 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than four and less than 7 years. $100 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than seven and less than 20 years.
Listed Spreads	Listed Spreads (or Discrete Spreads), composed of Standard Contracts, may be traded using the SwapBook Discrete Spread functionality.
Block Trades	Eris Interest Rate Swap Futures are eligible to be traded as privately negotiated, off-exchange Block Trades and reported to Eris Exchange. Block Trades must be executed and reported pursuant to Rule 601in the Eris Exchange Rulebook.
Exchange of Derivatives for Related Positions	Eris Interest Rate Swap Futures are eligible to be traded as privately negotiated, off-exchange Exchange of Derivatives for Related Positions (EDRPs) and reported to Eris Exchange. EDRPs must be executed and reported pursuant to Rule 602 in the Eris Exchange Rulebook.
Ticker Symbol Convention	Maturity Code (Period Code) will be YYYYMMDD Product Code: ZC9110; initial contract fixed rate Product Code: ZC9210; secondary contract fixed rate For example, the 10Y contract with Product Code of ZC9110 and Maturity Date of 12/19/22 will have a ticker symbol of ZC911020221219