SOFR Contract Specs Page | Eris Futures

Eris SOFR Swap Futures

Contract Specifications

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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 SOFR_iis the daily SOFR fixings in the period, n_i is the number of days covered by the SOFR fixing, and d is the number of days in the period
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 PAI^TMon 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