| 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 AMGs 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 |
3Y Nearest 6 |
4Y Nearest 10 |
5Y-10Y Nearest 12 expiring contracts |
12Y-20Y Nearest 10 expiring contracts |
30Y Nearest 20 |
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| 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 | |||||||||||
Eris Swap Futures Inter-Commodity Spreads
| Product | Spread Name | Price Ratio* | Leg Quantity Ratio* |
|---|---|---|---|
| 2Y Eris Libor Swap Future vs 3Y Eris Libor Swap Future | ETR | 1.500 | 3:2 |
| 2Y Eris Libor Swap Future vs 7Y Eris SOFR Swap Future | ETV | 3.000 | 3:1 |
| 2Y Eris Libor Swap Future vs 10Y Eris Libor Swap Future | ETN | 4.000 | 4:1 |
| 4Y Eris Libor Swap Future vs 5Y Eris Libor Swap Future | EOF | 1.250 | 5:4 |
| 5Y Eris Libor Swap Future vs 7Y Eris Libor Swap Future | EFV | 1.333 | 4:3 |
| 5Y Eris Libor Swap Future vs 10Y Eris Libor Swap Future | EFN | 2.000 | 2:1 |
| 7Y Eris Libor Swap Future vs 10Y Eris Libor Swap Future | EVN | 1.333 | 4:3 |
*Leg quantity and price ratios are subject to change.
