Eris SOFR Reference Data on Bloomberg
| Eris Data Field Name | Description | Bloomberg Field Mnemonic | Field ID | Field ID Realtime* |
|---|---|---|---|---|
| NPV (A) | Eris A value; NPV of future fixed and floating coupon payments in price units | SOFR_DISCOUNTED_NPV | P4062 | Q4062 |
| PastFxdFltPmts (B) | Fixed and floating coupon payments that have taken place, and no longer in NPV (A). Included on and after payment date | PAST_FIXED_FLOATING_PAYMENTS | P4064 | Q4064 |
| ErisPAI (C) | Accumulated PAI/price alignment interest | ERIS_PX_ALGNMNT_INTRST_PAI | P4065 | Q4065 |
| EffectiveDate | Start date of underlying swap | SW_EFF_DT | SW002 | |
| CashFlowAlignmentDate | Unadjusted maturity date of underlying swap. Date used for aligning roll dates | SW_UNDRLYNG_CF_ALIGNMENT_DT | SW790 | |
| Coupon (%) | Contract fixed rate (%) |
CPN COUPON_RT |
DS033 |
RQ895 |
| FairCoupon (%) | Coupon produces a zero swap NPV, where the swap start date is the later of i) the contract Effective Date, or ii) the current Evaluation Date with short front stubs | FAIR_COUPON | P4063 | Q4063 |
| UnpaidFixedAccrual | Fixed coupon amount accrued since FixedAccrualStartDate to EvaluationDate; amount of accrued fixed coupon included in NPV (A) | UNPAID_FIXED_ACCRUAL | P4066 | Q4066 |
| UnpaidFloatingAccrual | Floating coupon amount accrued since FloatingAccrualStartDate to EvaluationDate; amount of accrued floating coupon included in NPV (A) | UNPAID_FLOATING_ACCRUAL | P4067 | Q4067 |
| NPV(A) less Net Unpaid Fixed Floating Accrual | Swap NPV less NetUnpaidFixedFloatingAccrual (accruals since coupon accrual start date that are in NPV) | NPV_LS_NET_UNPD_FXD_FLTNG_ACC | P4069 | Q4069 |
| PastFxdFltPmts(B) plus Net Unpaid Fixed Floating Accrual | Past fixed and floating payments plus NetUnpaidFixedFloatingAccrual (accruals since coupon accrual start date that are in NPV) | PST_FLT_PLUS_NETUNPD_FLT | P4070 | Q4070 |
| Net_Unpaid_Fixed_Floating_Accrual | Value of fixed coupon accruals minus floating coupon accruals since the start date of the current fixed and floating coupon calculation periods | NET_UNPD_FIXED_FLOATNG_ACCRL | P4068 | Q4068 |
* Bloomberg's "realtime" data: Only the Eris price is truly updated in real-time. Other fields labeled as "realtime" (including Fair Coupon) reflect the most recent data retrieval and may not represent current market conditions.
