Contract Specifications

Summary Terms For individual contract dates, fixed rate and key price/analytic variables, go to the Eris Contract Lookup Tool 
Exchange Listing CBOT
Trading Hours 23/5: Sunday 6pm to Friday 5pm ET, settling daily at 3pm ET, with a 60-minute break each day from 5pm to 6pm ET
Contract Notional $100,000 for all tenors 
Tenors 2Y 3Y 4Y 5Y 7Y 10Y 12Y 15Y 20Y 30Y
Contract Code LIT LIC LID LIW LIB LIY LII LIL LIO LIE
Date Suffix Quarterly listings, March (H), June (M), September (U), December (Z), followed by a 2-digit effective year code, 2019 (19), 2020 (20). e.g. LITH19
Tick Sizes $/Price 2Y-3Y: $2 / 0.002 4Y-5Y: $5 / 0.005 7Y-15Y: $10 / 0.010 20Y-30Y: $20 / 0.020
Tick Sizes Tick sizes are approximately equivalent to 1/10th of a yield basis point, 0.001%. e.g. LITH19 might tick from 100.254 to 100.256, a $2 price change, representing a yield change from 2.621% to 2.620%
Price Convention Eris contracts trade on a decimal price indexed to 100, in eligible tick increments; the value of 1.0 price point is equal to $1000.00
Daily Settlement Price 100 + A (the NPV of future cash flows; fixed coupons less 3M LIBOR) + B (past coupon payments) – C (PAI1; Price Alignment Interest). A long position is equivalent to receiving fixed and paying floating on a swap
Contract Coupons Predetermined semi-annual fixed coupons vs quarterly 3M LIBOR, mirroring the terms of MAC swaps, as set by SIFMA AMG’s MAC Sub-Committee
Effective Dates Quarterly IMM start dates, the 3rd Wednesday of the contract listing month. e.g. Effective Date for LITH19 is 03/20/2019
Maturity Date The date “tenor-years” from the Effective Date. e.g. Maturity Date for LITH19 is 03/20/2021
Last Trading Day The business day prior to the Maturity Date
Final Settlement Price = 100 + {all coupon payments during contract life} – {accumulated Price Alignment Interest (PAI)1 during contract life)
Reduced Tick Size Tick sizes reduce once over the life of each contract, based on the remaining tenor. This facilitates trading on a tighter bid/ask spread as the contract shortens
Reduced Tick Size 2Y-5Y: $1 / 0.0010 7Y-15Y: $2 / 0.0020 20Y-30Y: $5 / 0.0050
Contracts Subject to Reduced Tick

2Y
Nearest 4

3Y
Nearest 6
4Y
Nearest 10
5Y-10Y
Nearest 12 expiring contracts
12Y-20Y
Nearest 10 expiring contracts
30Y
Nearest 20
Footnote 1. PAI, or Price Alignment Interest, is the accumulated overnight interest on the previous closing day’s NPV of future cash flows (called the Eris A value), calculated using the daily Fed Funds effective rate. This amount is equivalent to the accumulated interest paid on collateral posted in lieu of the mark to market of the analogous over-the-counter swap