Guide to Eris Data

Discount factor curves, today to 50 years, for SOFR markets
EOD curves are calibrated to reprice observed mid/traded prices of Eris front contracts at 15:00ET daily, used in forecasting and discounting all future cash flows, and from which all Eris contracts are priced and settled
Intraday curves are calibrated to reprice live observed order book mid-prices of Eris contracts during regular trading hours
- Eris_[yyyymmdd]_EOD_DisountFactors_SOFR.csv (Available ~15:40 ET)
- Eris_Latest_EOD_DisountFactors_SOFR.csv (Updated ~16:20 ET)
- Eris_Intraday_DiscountFactors_SOFR.csv (RTH, every 5 mins)
RTH means Regular Trading Hours

Theoretical live intraday, preliminary settlement and final settlement prices for all contracts
File includes contract reference data, contract price, price components (Eris A-swap NPV, B-past fixed and floating coupons, and C-Eris PAI), PV01/DV01 and current coupon accrual data
- Eris_Instruments_[yyyymmdd]_PrelimSettles.csv (Available ~15:20 ET)
- Eris_Instruments_[yyyymmdd]_Settles.csv (Available ~15:40 ET)
- Eris_Instruments_Latest_Settles.csv (Updated ~16:20 ET)
- Eris_Standards_Pricing_Intraday.csv (RTH, every 5 mins)
The live intraday data is also available using the Eris MS Excel Addin, outlined in the section below, titled “Live Intraday Price Retrieval with Eris MS Excel Add-in”
File layout:
- CSV file (column location, field headings and field content)

Often also referred to as Eris PAI files
Source files for accrued values — past fixed and floating coupons and PAI — prior to final settlement prices
Published twice daily; first on T-1, before SOFR is published for T, and then again on T, after SOFR is published
Eris_Instruments_[yyyymmdd]_Prices_Prev_PAI_Rate.csv
- Available ~15:40 ET on T-1 (trade date prior to yyyymmdd)
- Prices of all contracts, with past coupons and PAI updated to the current trade date, with the latest PAI accrual occurring at the PAI rate (SOFR) of the previous trade date (as SOFR for current trade date not yet published)
Eris_Instruments_[yyyymmdd]_Prices_TopDay_PAI_Rate.csv
- Available ~08:10 ET on T (trade settle date yyyymmdd)
- Prices of all contracts, with past coupons and PAI updated to the current trade date, re-run following the publication of the PAI rate (SOFR) for the current trade date
File Layout:
- CSV (column location, field headings and field content)
Key Data Locations
- Past payments of fixed and floating coupons found in column AD
- Eris PAI found in column AE

Future fixed and forecasted floating cash flows of all contracts
Includes forecasted floating rates, coupon accrual start and end dates, payment dates and discount factors
SOFR in the filename represents SOFR discounting
- Eris_[yyyymmdd]_EOD_PricedSwapLegAnalysis_SOFR.csv (Available ~15:40 ET)
- Eris_Latest_EOD_PricedSwapLegAnalysis_SOFR.csv (Updated ~16:20 ET)

The Eris Pricing Engine® (PE) calibrates discount factor curves that are used to settle all Eris contracts. These discount factor curves are used to imply spot starting SOFR swap rates, published as follows:
- Eris_[yyyymmdd]_EOD_ParCouponCurve_SOFR.csv (Available ~15:40 ET)
The Eris PE also runs live, generating theoretical intraday prices for all Eris contracts and spot starting swap rates implied by the Eris curve. Eris spot starting swap rates are contributed to Bloomberg and may be retrieved using Bloomberg’s generic swap codes, attributed with “Eris”; Bloomberg Terminal syntax:
- Spot starting 1-30yrs O/N SOFR swap, e.g. {USOSFR2 ERIS Curncy GO}
The live theoretical intraday Eris prices and Eris implied spot starting swap rates may also be pulled into an Excel spreadsheet using the Eris MS Excel Addin function library, details below

Eris provides a free MS Excel Addin function library, which facilitates the retrieval of real-time and reference data for all Eris Swap Futures contracts and implied spot starting swaps
Data includes contract swap terms, Eris price components (A/B/C’s), live order book prices, theoretical mid prices for contracts without order book prices, contract risk parameters, par equivalent swap rates of Eris contracts, and many more data points
More information and download instructions available here
- ErisMarketsAddin.xlam (Static file)

Historical time series of prices and price components (A/B/C’s) for all Eris contracts from December 2012 to present
- Eris_Historical_Prices.csv (Updated ~08:10 ET)

Schedule of US Govt Securities, Sifma & UK holidays going out 40 years, used in calculations
- Eris_[yyyymmdd]_EOD_Holidays.csv (Available ~15:40 ET)

Eris Public File Server