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Eris SOFR Swap Futures

Contract Specifications

For individual contract dates, fixed rate and key price/analytic variables, go to the Eris Contract Lookup Tool

Exchange Listing CBOT
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 the exchange of receiving fixed annual amounts versus paying annual floating amounts.  The floating amounts are determined from the daily compounded SOFR fixings during each Accrual Period
Contract Listings Quarterly IMM Effective Date Contracts (3rd Wednesday of March, June, September, and December of each year)
Tenors 1Y 2Y 3Y 4Y 5Y 7Y 10Y 12Y 15Y 20Y 30Y
Contract Code YIA YIT YIC YID YIW YIB YIY YII YIL YIO YIE
Date Suffix 3-characters: 1 character IMM Effective Month - Mar(H), Jun(M), Sep(U), Dec(Z), followed by a 2-digit effective year (e.g. YIWZ20 = Dec'20 Eris SOFR 5Y, maturing Dec'25)
Fixed Leg Fixed rate, set to match the SIFMA SOFR MAC rate (set to the nearest 0.25% of the forward rate)
Floating Leg

USD-SOFR-COMPOUND: rate set at the end of each Accrual Period, determined as the daily compounded value of SOFR fixings during the Accrual Period, where SOFRi is the daily SOFR fixings in the period, ni is the number of days covered by the SOFR fixing, and d is the number of days in the period

Floating leg accrual

Payment Frequency / Payment Dates Annual for both Fixed and Floating Payments, paid 2 business days following the end of each Accrual Period, on an Actual/360 day count basis
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)

  • A(t) = NPV of future cash flows on date t, discounted on the SOFR curve
  • B(t) = Accumulated historical payments of fixed and floating amounts
  • C(t) = Eris PAITM on date t, equal to the accumulated daily SOFR interest on {A(t-1) - cashflows(t)} (=previous business day's NPV less today's fixed-float cash flows)
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   YIA

2Y   YIT

3Y     YIC 4Y   YID 5Y   YIW 7Y   YIB 10Y   YIY 12Y   YII 15Y   YIL 20Y   YIO 30Y   YIE
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 $20.00 0.0200 $20.00 0.0200 $40.00 0.0400 $40.00 0.0400
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 $10.00 0.0100 $10.00 0.0100 $20.00 0.0200 $20.00 0.0200
Business Days U.S. Government Securities market business days (SIFMA)
Market Data Channel 344

 

 

Eris Swap Futures Inter-Commodity Spreads

ILink: Tag 55 Symbol MDP 3.0 Tag 1151 Security Group EH
Tag 762 Security Subtype IV-Intercommodity Spread

 

Product Spread Name Price Ratio* Leg Quantity Ratio*
1Y Eris SOFR Swap Future vs 2Y Eris SOFR Swap Future EAT 1.000 1:1
1Y Eris SOFR Swap Future vs 3Y Eris SOFR Swap Future EIC 1.000 1:1
2Y Eris SOFR Swap Future vs 3Y Eris SOFR Swap Future ETC 1.000 1:1
2Y Eris SOFR Swap Future vs 5Y Eris SOFR Swap Future ETW 2.500 5:2
3Y Eris SOFR Swap Future vs 4Y Eris SOFR Swap Future EID 1.000 1:1
3Y Eris SOFR Swap Future vs 5Y Eris SOFR Swap Future ECW 1.666 5:3
4Y Eris SOFR Swap Future vs 5Y Eris SOFR Swap Future EDW 1.000 1:1
5Y Eris SOFR Swap Future vs 10Y Eris SOFR Swap Future EIY 2.000 2:1
4Y Eris LIBOR Swap Future vs 4Y Eris SOFR Swap Future EDI 1.000 1:1
5Y Eris LIBOR Swap Future vs 5Y Eris SOFR Swap Future EIW 1.000 1:1
7Y Eris LIBOR Swap Future vs 7Y Eris SOFR Swap Future EBB 1.000 1:1
10Y Eris LIBOR Swap Future vs 10Y Eris SOFR Swap Future EYY 1.000 1:1
30Y Eris LIBOR Swap Future vs 30Y Eris SOFR Swap Future EEE 1.000 1:1

* Leg quantity and price ratios are as of Aug 2020 and subject to change

 

Treasury vs. Eris Futures Implied Intercommodity Spreads

Effective Sunday, October 23 (trade date Monday, October 24), the following Treasury vs. Eris futures Implied Intercommodity spreads will be listed on CME Globex.

PRODUCT
MDP 3.0: TAG 6937-ASSET
ILINK: TAG 55-SYMBOL
MDP 3.0 TAG 1151 - SECURITY GROUP
Price Ratio
Leg Quantity
5-Year T-Note Futures (ZF)
5-Year Eris SOFR Swap Futures (YIW)
EWF
IV
1.000
1:1
10-Year T-Note Futures (ZN)
7-Year Eris SOFR Swap Futures (YIB)
EBN
IV
1.000
1:1
Ultra 10-Year T-Note Futures (TN)
10-Year Eris SOFR Swap Futures (YIY)
EYT
IV
1.000
1:1

 

 

 

Contact us with immediate questions:

 
1-646-961-4489
questions@erisfutures.com (responses within 60 minutes during U.S. business hours)

Chicago

625 W. Adams, Suite 19-105

Chicago, IL 60661

 

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