Discount Factors (Intraday)
The Intraday discount factors file provides current SOFR based discount factor for every future date going out 50 years
- Use this for pricing models, valuation of other assets
- View Intraday Discount Factors here
Below is an explanation of each column:
- Date future date to which the discount factor applies
- DiscountFactor SOFR based discount factors, which when multiplied by the future value, creates a present value
- EvaluationDate The date off of which the calculations were made
- Curve Index curve used for valuation. For SOFR, this will be USD_SOFR
Discount Factors (EOD)
The end of day discount factors file provides SOFR based discount factors for every future date going out 50 years
- Use this to validate settlement prices, value other assets
- View EOD Discount Factors here
Below is an explanation of each column:
- Date future date to which the discount factor applies
- DiscountFactor SOFR based discount factor, which when multiplied by the future value, creates a present value
- SpotRate (Actual360 Continous) Spot SOFR rate implied by the discount factor
Daily Settles (End of Day)
- Detailed closing price file for all Eris SOFR Swap Futures, breaking out Swap NPV, past cash flows, and ErisPAI components, along with detail on unpaid accruals
- Use for income reporting, P&L tracking
- View latest file here
Below is an explanation for each column
- Symbol shows the ticker ID for the Eris contract
- SettlementPrice is calculated using the following formula: 100 + NPV (A) + AccruedCoupon (B) - ErisPAI (C)
- FirstTradeDate corresponds to the first day the SOFR Swap Futures have been listed. The PAI starts accruing from the FirstTrade date
- EffectiveDate corresponds to the start date of the underlying SOFR swap on which accrual of cash flows commence
- CashFlowAlignmentDate corresponds to the EffectiveDate plus the tenor of the underlying SOFR Swap. CashFlowAlignmentDate is not adjusted and can fall on both good and bad business days
- MaturityDate corresponds to the last payment date. To compute the MaturityDate, the CashFlowAlignmentDate is adjusted in accordance with the Modified Following Business Day Convention, then 2 business days are added to obtain the MaturityDate. The Payment Calendar is used for adjustments, with ModifiedFollowing Business Day Convention
- NPV (A) is equal to FixedLeg_NPV + FloatLeg_NPV
- FixedLeg_NPV corresponds to the sum of present values of future fixed cash flows
- FloatLeg_NPV corresponds to the sum of present values of future floating cash, plus the compounded value of the realized SOFR fixings over the current interest period (i.e. from the AccrualStartDate to the EvaluationDate)
- Coupon (%) is the fixed rate of the underlying swap
- AccrualStartDate corresponds to the start date (including) of the current interest period
- AccrualEndDate corresponds to the end date for the accrual of interest; no interest accrues on the AccrualEnd date, only through the day prior to the AccrualEnd date
- NextPaymentDate corresponds to the payment day of the next payment, falling 2 business days after the AccrualEndDate
- AccruedNextFixedAmt corresponds to the portion of fixed coupon which has been accrued from AccrualStartDate to the evaluation date
- NextFixedAmt corresponds to the next fixed coupon that will finish accruing on AccrualEndDate and paid on NextPaymentDate
- IntPeriodSOFRIndex corresponds to the realized compounded SOFR rate fixings from AccrualStartDate to the evaluation date (provided that the SOFR rate fixing for the period from the day prior to the evaluation date to the evaluation date has been confirmed). It is also equal to the ratio of the FED SOFR Index between these 2 dates
- AccruedNextFloatAmt is the realized compounded SOFR interest amount from AccrualStartDate (including) to the evaluation date (excluding)
- StartDiscountFactor corresponds to the discount factor:
- On the evaluation date if the effective date of the instrument has passed - in this case, StartDiscountFactor will be equal to 1
- The discount factor of the EffectiveDate if the evaluation date is prior to the EffectiveDate of the contract - in this case, the forward discount factor is required
- EndDiscountFactor corresponds to the discount factor on the AccrualEndDate of the current interest period (if contract has reached the EffectiveDate) or the next interest period (if the evaluation date is prior to the contract EffectiveDate )
- CompRemainingFloatAmt corresponds to the forward cash flow covering the period from the evaluation date (including) to the AccrualEndDate as a result of future forecasted SOFR rate fixings, plus the compounded interest on the realized SOFR rate fixings that make up the AccruedNextFloatAmt
- NextFloatAmt corresponds to the su m of AccruedNextFloatAmt and CompRemainingFloatAmt
- PastCpnPmts (B) corresponds to the accumulation of net Fixed and Floating amounts that have already occured. Fixed amounts are treated as positive (received), Floating as negative (paid)
- SOFRRate corresponds to the validated SOFR rate effective on the day before the evaluation date, for the accrual period from the day prior to the evaluation date to the evaluation date
- AccrualDays corresponds to the number of days in the current PAI period, and is equal to the number of days in the accrual period from the day prior to the evaluation date to the evaluation date.
- PrevNPVforPAI is used in the computation of the DailyIncrementalErisPAI and is equal to to the swap NPV (A) from the day prior to the evaluation date, less payments to take place on the evaluation date (i.e. the change in the B amount, PastCpnPmts, that takes place between the evaluation date and the day prior. May also be expressed as swap NPV(A) of day prior to evaluation date, minus the Fixed Interest Payment taking place on the evaluation date (if any), plus the Floating Interest Payment taking place on the evaluation date (if any).
- PreviousPAI corresponds to the accumulated PAI that was calculated the trading day prior to the evaluation date
- DailyIncrementalErisPAI corresponds to the interest on PrevNPVforPAI
- ErisPAI (C) corresponds to the PreviousPAI + the DailyIncrementalErisPAI
Par Coupon Curve (End of Day)
- Benchmark spot starting Ann A/360 fixed rates vs compounding O/N SOFR
- Created by the Eris Pricing Engine, will be anchored to Eris SOFR Swap Futures prices when live
- View latest file here
Below is an explanation of each column:
- Symbol shows the underlying SOFR swap tenor
- EvaluationDate is the date on which the calculations were made
- FirstTradeDate corresponds to the first day from which PAI starts accruing
- ErisPAIDate corresponds to the first day from which PAI starts accruing
- EffectiveDate corresponds to the start date of the underlying SOFR Swap, on which accrual of cash flows commence
- CashFlowAlignmentDate corresponds to the EffectiveDate plus the tenor of the underlying SOFR Swap. CashFlowAlignmentDate is not adjusted and can fall on both good and bad business days.
- MaturityDate corresponds to the last payment date. To compute th e MaturityDate, the CashFlowAlignmentDate is adj usted in accordance with the Modified Following Business Day Convention, then 2 business days are added to obtain the MaturityDate. The Payment Calendar is used for adjustments, with ModifiedFollowing Business Day Convention.
- NPV (A) is equal to FixedLeg_NPV + FloatLeg_NPV
- FixedNPV corresponds to the sum of present values of future fixed cash flows
- FloatingNPV corresponds to the sum of present values of future floating cash flows
- Coupon (%) is the fixed rate of the underlying swap
- FairCoupon (%) is the fixed rate of the underlying swap such that the NPV = 0
- Nominal is the underlying price basis, typically 100
- Spread (bps) shows the spread, if any over SOFR
- Index indicates the floating index, overnight SOFR on an Act/360 basis
Priced Swap Leg Analysis (End of Day)
- Future fixed and forecasted floating cash flows for all Eris SOFR Swap Futures
- Created to support the daily settlement process and useful for model calibration validation
- View latest file here
Below is an explanation of each column:
- Symbol shows the ticker ID for the Eris contract associated with the cash flow
- Fixed/Float corresponds to the nature of the cash flow. Fixed means that the payment leg is determined by the fixed interest rate of the swap. Float means that the payment leg is determined by the daily compounding of SOFR fixings during the period
- PaymentDate indicates the day of fixed or floating payment payment
- Amount corresponds to the future cash flow that will take place on the PaymentDate
- Nominal is the underlying basis, typically 100
- AccrualStart corresponds to the starting date for the accrual of interest
- AccrualEnd corresponds to the end date for the accrual of interest; no interest accrues on the AccrualEnd date, only through the day prior to the AccrualEnd date
- AccrualDays corresponds to the number of days between the AccrualStart (including) and the AccrualEnd (excluding)
- AccrualPeriod corresponds to the year fraction represented by AccrualDays, following the Actual/360 DayCounter; AccrualDays/360
- DiscountFactor corresponds to the SOFR discount factor for the PaymentDate
- PVCF corresponds to the present value of the cash flow; PVCF = DiscountFactor x Amount
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