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Exchange Listing | CBOT |
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Trading Hours | Globex trading hours (5:00pm CT to 4:00pm CT, Sunday to Friday) |
Contract Notional | $100,000 for all tenors |
Contract Structure | Contracts embed receiving semi-annual fixed coupons, versus paying quarterly floating coupons determined by reference to the 3 Month Bloomberg Short-Term Bank Yield Index (BSBY) published 2 Business Days prior to the start date of each Floating Accrual Period |
Contract Listings | Quarterly IMM Effective Date Contracts (3rd Wednesday of March, June, September and December each year), listed 9 months prior to the Contract Effective Date |
Tenors | 1Y | 2Y | 3Y | 4Y | 5Y | 7Y | 10Y |
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Contract Code | KXA | KXT | KXC | KXD | KXW | KXB | KXY |
Date Suffix | 3-characters: 1 character IMM Effective Month (Mar, Jun, Sep, Dec: H, M, U, Z), followed by a 2-digit effective year (e.g. KXWM22 = Jun’21 Eris BSBY 5Y, maturing Jun’27) |
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Fixed Rate | Fixed interest rate, set at time of contract listing, to the nearest 0.25%-increment-rate that is nearest to the implied forward par swap rate, and mirroring the Sifma BSBY MAC rate published by CME Group if available |
Floating Rate |
The 3 Month Bloomberg Short Term Bank Yield Index (BSBY) calculated and published at 8:00 am (EST) 2 U.S. Government Securities Business days prior to the start date of each Floating Accrual Period. Paid quarterly on an actual/360 day count basis, modified following convention |
Payment Dates |
Accrual Period End dates, with no payment lag |
Business Days |
2 U.S. Government Securities Business Days |
Contract Price |
Contracts cash settle for life to the Eris Price, capturing all the cash flows of the swap Eris Price = 100 + A(t) + B(t) - C(t)
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Price Increments | 100.0000 indexed decimal price to 4 decimal places, with minimum price increments equivalent to approximately 0.0015-0.0025% in yield. 1 full point (1.000) will represent $1,000.00 |
Tenor Contract |
1Y KXA |
2Y KXT |
3Y KXC | 4Y KXD | 5Y KXW | 7Y KXB | 10Y KXY |
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Initial Tick Size $/Px | $2.50 0.0025 | $2.50 0.0025 | $5.00 0.0050 | $10.00 0.0100 | $10.00 0.0100 | $20.00 0.0200 | $20.00 0.0200 |
Calendar Spread Tick Size $/Px |
$2.50 0.0025 |
$2.50 0.0025 | $2.50 0.0025 |
$5.00 0.0050 |
$5.00 0.0050 | $10.00 0.0100 | $10.00 0.0100 |
Market Data Channel | 344 |
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Eris Swap Futures Inter-Commodity Spreads
ILink: Tag 55 Symbol MDP 3.0 Tag 1151 Security Group | BY |
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Tag 762 Security Subtype | IV IS |
IS strategies are inter-commodity but always 1-1 ratio and trade as Leg 1 – Leg 2.
IV strategies are inter-commodity ratio spreads (e.g. 3-2) and trade as net change vs. previous day.
Product | MPD 3.0: TAG 6937-ASSET | Tag 762-Security Subtype | Spread Ratio |
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1Y Eris BSBY Swap Future vs 2Y Eris BSBY Swap Future | KAT | IV | 1:1 |
1Y Eris BSBY Swap Future vs 3Y Eris BSBY Swap Future | KAC | IV | 1:1 |
2Y Eris BSBY Swap Future vs 3Y Eris BSBY Swap Future | KAX | IV | 1:1 |
2Y Eris BSBY Swap Future vs 5Y Eris BSBY Swap Future | KWT | IV | 5:2 |
3Y Eris BSBY Swap Future vs 4Y Eris BSBY Swap Future | KAD | IV | 1:1 |
3Y Eris BSBY Swap Future vs 5Y Eris BSBY Swap Future | WCK | IV | 5:3 |
4Y Eris BSBY Swap Future vs 5Y Eris BSBY Swap Future | WDK | IV | 1:1 |
5Y Eris BSBY Swap Future vs 10Y Eris BSBY Swap Future | WYK | IV | 2:1 |
1Y Eris BSBY Swap Future vs 1Y Eris SOFR Swap Future | KXA | IS | 1:1 |
2Y Eris BSBY Swap Future vs 2Y Eris SOFR Swap Future | KXT | IS | 1:1 |
3Y Eris BSBY Swap Future vs 3Y Eris SOFR Swap Future | KXC | IS | 1:1 |
4Y Eris BSBY Swap Future vs 4Y Eris SOFR Swap Future | KXD | IS | 1:1 |
5Y Eris BSBY Swap Future vs 5Y Eris SOFR Swap Future | KXW | IS | 1:1 |
7Y Eris BSBY Swap Future vs 7Y Eris SOFR Swap Future | KXB | IS | 1:1 |
10Y Eris BSBY Swap Future vs 10Y Eris SOFR Swap Future | KXY | IS | 1:1 |
4Y Eris LIBOR Swap Future vs 4Y Eris BSBY Swap Future | KXD | IS | 1:1 |
5Y Eris LIBOR Swap Future vs 5Y Eris BSBY Swap Future | KXW | IS | 1:1 |
7Y Eris LIBOR Swap Future vs 7Y Eris BSBY Swap Future | KXB | IS | 1:1 |
10Y Eris LIBOR Swap Future vs 10Y Eris BSBY Swap Future | KXY | IS | 1:1 |
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