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
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| 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)
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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 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.
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Contact us with immediate questions:
Chicago
625 W. Adams, Suite 19-105
Chicago, IL 60661
