Product Name | Spread Ratio | CME Globex (March 2024 Contract Example) |
Bloomberg |
2-Year Eris SOFR Swap Futures (YIT) - 2-Year T-Note Futures (ZT) |
|
ETU 01-01 H24-H4 | *Not yet defined |
5-Year Eris SOFR Swap Futures (YIW) - 5-Year T-Note Futures (ZF) |
|
EWV 01-01 H24-H4 | YIWFV Comdty |
7-Year Eris SOFR Swap Futures (YIB) - 10-Year T-Note Futures (ZN) |
|
EBN 01-01 H24-H4 | YIBTY Comdty |
10-Year Eris SOFR Swap Futures (YIY) - Ultra 10-Year T-Note Futures (TN) |
|
EYT 01-01 H24-H4 | YIYUXY Comdty |
Please note: Bloomberg tickers are currently only available for same-month combinations, like YIWH24-FVH4 and YIWM24-FVM4. Please consider sending a request to your Bloomberg rep for them to add the staggered-month combinations (e.g., YIWH24-FVM4), which are relevant for the 2.5 week period each quarter between the Treasury Futures roll (e.g., Feb 29) and the Eris SOFR roll (e.g., Mar 18).
Tenor | Outright Ticker | Calendar Spread Ticker |
Eris SOFR 1 yr | YIAM24 Comdty <go> | YIAH4M4 Comdty <go> |
Eris SOFR 2 yr | YITM24 Comdty <go> | YITH4M4 Comdty <go> |
Eris SOFR 3 yr | YICM24 Comdty <go> | YICH4M4 Comdty <go> |
Eris SOFR 4 yr | YIDM24 Comdty <go> | YIDH4M4 Comdty <go> |
Eris SOFR 5 yr | YIWM24 Comdty <go> | YIWH4M4 Comdty <go> |
Eris SOFR 7 yr | YIBM24 Comdty <go> | YIBH4M4 Comdty <go> |
Eris SOFR 10 yr | YIYM24 Comdty <go> | YIYH4M4 Comdty <go> |
Eris SOFR 12 yr | YIIM24 Comdty <go> | YIIIH4M4 Comdty <go> |
Eris SOFR 15 yr | YILM24 Comdty <go> | YILH4M4 Comdty <go> |
Eris SOFR 20 yr | YIOM24 Comdty <go> | YIOH4M4 Comdty <go> |
Eris SOFR 30 yr | YIEM24 Comdty <go> | YIEH4M4 Comdty <go> |
Eris maintains a selection of Bloomberg Monitor windows which aggregate the presentation of Eris contracts in a single view. These windows may be launched as Bloomberg Launchpad objects and are maintained by Eris so that they present the current front contracts and the calendar rolls when relevant. Contact Eris by email or message “ERIS INNOVATIONS” on the Bloomberg Terminal IB or messaging service.
Tenor | Outright Ticker | Calendar Spread Ticker |
Eris SOFR 1 yr | 0#AIY: | 0#AIY-: |
Eris SOFR 2 yr | 0#TIY: | 0#TIY-: |
Eris SOFR 3 yr | 0#YIC: | 0#YIC-: |
Eris SOFR 4 yr | 0#YID: | 0#YID-: |
Eris SOFR 5 yr | 0#YIW: | 0#YIW-: |
Eris SOFR 7 yr | 0#BIY: | 0#BIY-: |
Eris SOFR 10 yr | 0#YIY: | 0#YIY-: |
Eris SOFR 12 yr | 0#YII: | 0#YII-: |
Eris SOFR 15 yr | 0#YIL: | 0#YIL-: |
Eris SOFR 20 yr | 0#YIO: | 0#YIO-: |
Eris SOFR 30 yr | 0#EIY: | 0#EIY-: |
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