Eris Innovations provides intraday and end of day contract pricing data on its ftp site. This guide explains the data and files available. Files are located in the following FTP folder:
ftp://ftp.erisfutures.com/
2. Intraday and Settlement Prices, Eris A/B/C, PV01, DV01, Par Rates
3. Accrued Values: Past Coupons and PAI
4. Swap Leg Cash Flow Analysis
5. Eris Par Swap Curve
6. Live Intraday Price Retrieval with Eris MS Excel Add-in
7. Daily Historical Prices
8. Holiday Calendar
As internet browsers no longer support ftp folder access, use the following URL to access the files through a browser window:
Individual files may require a username (“anonymous”) and password (“anonymous”).
The FTP folder contains both daily "date" named files, a most recent daily "latest" named version, and intraday “live market” files. Every 3 months, daily "date" named files are archived to an archive folder, structured by year and month, which may be found as follows:
http://files.erisfutures.com/ftp/archives/
For questions or more information, please contact info@erisfutures.com.
Click to Jump to File Information
1. Discount Factors2. Intraday and Settlement Prices, Eris A/B/C, PV01, DV01, Par Rates
3. Accrued Values: Past Coupons and PAI
4. Swap Leg Cash Flow Analysis
5. Eris Par Swap Curve
6. Live Intraday Price Retrieval with Eris MS Excel Add-in
7. Daily Historical Prices
8. Holiday Calendar
1. Discount Factors
- Discount factor curves, today to 50 years, for SOFR, BSBY and Libor 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_[yyyymmdd]_EOD_DisountFactors_BSBY.csv (Available ~15:40 ET)
- Eris_[yyyymmdd]_EOD_DisountFactors_Libor.csv (Available ~15:40 ET)
- Eris_Latest_EOD_DisountFactors_SOFR.csv (Updated ~16:20 ET)
- Eris_Latest_EOD_DisountFactors_BSBY.csv (Updated ~16:20 ET)
- Eris_Latest_EOD_DisountFactors_Libor.csv (Updated ~16:20 ET)
- Eris_Intraday_DiscountFactors_SOFR.csv (RTH, every 5 mins)
- Eris_Intraday_DiscountFactors_BSBY.csv (RTH, every 5 mins)
- Eris_Intraday_DiscountFactors_Libor.csv (RTH, every 5 mins)
- RTH means Regular Trading Hours
2. Intraday and Settlement Prices, Eris A/B/C, PV01, DV01, Par Rates
- 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:
3. Accrued Values: Past Coupons and PAI
- 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:
- Key Data Locations
- Past payments of fixed and floating coupons found in column AD
- Eris PAI found in column AE
4. Swap Leg Cash Flow Analysis
- 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)
5. Eris Par Swap Curve
- 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 and Libor swap rates, published as follows:
- Eris_[yyyymmdd]_EOD_ParCouponCurve_SOFR.csv (Available ~15:40 ET)
- Eris_[yyyymmdd]_EOD_ParCouponCurve_BSBY.csv (Available ~15:40 ET)
- Eris_[yyyymmdd]_EOD_ParCouponCurve_Libor.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 3m Libor swaps, e.g. {USSW5 ERIS Curncy <GO>}
- Spot starting 1-30yrs O/N SOFR swap, e.g. {USOSFR2 ERIS Curncy GO}
- Spot starting 1-10yrs 3m BSBY swaps, e.g. {USBYSQ5 ERIS Curncy <GO>}
- Spot starting 1-10yrs SOFR vs 3m BSBY basis spreads, e.g. {USSVBQ5 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
6. Live Intraday Price Retrieval with Eris MS Excel Add-in
- 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)
7. Daily Historical Prices
- 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)
8. Holiday Calendar
- Schedule of US Govt Securities, Sifma & UK holidays going out 40 years, used in calculations
- Eris_[yyyymmdd]_EOD_Holidays.csv (Available ~15:40 ET)
Disclaimer: The data provided by Eris Innovations (Eris) on erisfutures.com, files.erisfutures.com/ftp/ and ftp.erisfutures.com (Eris Public Data) are provided on an as is, as available basis. Users of Eris Public Data bear the sole risk of all exploitation of and other uses of it, as well as any misuse or unauthorized access thereto. To the full extent permissible under applicable laws, Eris makes no, and hereby disclaims all, representations, warranties and conditions of any kind, express and/or implied, including as to the transmission, availability, suitability, completeness, timeliness, currency, accuracy, or sequence of the Eris Public Data, including but not limited to any representations, warranties or conditions of merchantability, quality, fitness for a particular purpose, title, and non-infringement, and implied representations, warranties or conditions arising from a course of dealing, course of performance or usage of trade. In addition, Eris is not responsible for any errors or omissions in any Eris Public Data, any failures, delays or interruptions in the availability of Eris Public Data, or for any adverse consequences resulting from use of, inability to use or reliance on any Eris Public Data. Further, Eris expressly disclaims any representations, warranties or conditions that the Eris Public Data will be uninterrupted, secure, or free of malicious code, errors or other harmful components.
