Par Rate / Yield Calculations

 

Par Rate / Yield Calculations for Eris SOFR Swap futures

erisyield

This page explains how Eris Innovations calculates Par Rate Equivalent (Yield) data, as shown on the home page (Bid%/Ask%), Live Markets (Bid%/Ask%), Contract Lookup (Par Rate), and Trade Log (Par Rate Equvlnt [%]). This formula works for on-the-run contracts (prior to the effective date) and for off-the-run contracts (past the effective date), without modification. Importantly, for contracts past their effective date, this formula calculates the par rate of a spot-starting swap with remaining cash flows equal to the Eris SOFR contract, with the next fixed and floating payments treated as a short front stub.

 

Formula:

 

Par Swap Rate = Coupon – ((Price – 100 – “PastFxdFltPmts [B]” + “ErisPAI [C]” – “NetUnpaidFixedFloatingAccrual” ) * 10) / CleanPV01

 

Data Definitions

Field Description Source(s) Frequency of Change Example
(YIDM24 trade at 99.2200 on 11-Jul-2024)
Par Swap Rate Par Rate Equivalent (%) Output of calculation above Tick-by-tick 3.953
Coupon Contract fixed rate (%) CME S&V; CME DataMine; Eris FTP; Bloomberg Static per contract (rare exceptions) 3.75
Price Futures price format of bid/ask/trade price being
converted to Par Rate Equivalent
Market data Tick-by-tick 99.2000
PastFxdFltPmts [B] An Eris Contract Price is constructed as 100 + A +
B - C. This value records the Eris B value, and is
equal to the cumulative fixed and floating coupon
cash flow payments that take place during the life
of the underlying swap. This value is Zero until the
date of the first fixed or floating coupon payment,
at which point, cash flows move from Swap NPV
(the Eris A value) into PastFxdFltPmts (Eris B
value). At the end of the life of the swap, Eris A will
be Zero, and all cash flows during the life of the
swap will be recorded in Eris B.
CME S&V; CME DataMine; Eris FTP; Bloomberg Once per year, on payment date 0.0000
ErisPAI [C] An Eris Contract Price is constructed as 100 + A +
B - C. This value records the Eris C value, which is
the accumulating PAI (price alignment interest).
Eris PAI is calculated as accumulating daily SOFR
interest on the previous day's Swap NPV (with the
Swap NPV adjusted for cash flows scheduled for
the Evaluation Date). Eris PAI mirrors the price alignment amount if the swap were a CME cleared swap.
CME S&V; CME DataMine; Eris FTP; Bloomberg Twice daily -0.025874312
NetUnpaidFixedFloatingAccrual This value records fixed coupon accruals, minus
floating coupon accruals since the start date of the
current fixed and floating coupon calculation
periods. As this value has not yet been paid, it is
effectively a component of Swap NPV (Eris A).
This amount may be subtracted from Swap NPV
(Eris A) to determine a Clean Swap NPV. Equally,
this amount may be added to PastFxdPmts (Eris
B) to determine the total value of the swap that is
attributable to coupons and accruals from the swap
Effective Date to the current Evaluation Date. This
value may be useful for accounting and tax purposes.
CME S&V; CME DataMine; Eris FTP; Bloomberg Daily (but only after effective date) -0.092605522
CleanPV01

$ price change for a 1bp (0.01%) change in the Coupon of the contract, where the swap starting date is set as the later of i) the contract Effective Date, or ii) the current Evaluation Date with short front stubs.

CME S&V; CME DataMine; Eris FTP; Bloomberg; Trader model At user's discretion; many choose to update daily 36.18

Source Definitions

  1. Eris FTP: Eris allows free download of multiple-times-per-day contract data. Details here.
  2. CME MDP S&V: CME Market Data Platform Settlements & Valuations, channel 251. Details here.
  3. CME DataMine: CME DataMine allows free download of twice daily files of “Eris B&C Data.” Details here.
  4. Bloomberg: Bloomberg carries critical Eris SOFR reference data. Details here.
  5. Trader model: Relevant to PV01 data, which is available from CME Group, Eris Innovations and Bloomberg sources, but traders and firms often prefer to source it from their own models.

 

Par Rate / Yield Calculations for Eris/Treasury Swap Spreads

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Par Rate (in basis points) of any ETSS_Price =

((Coupon – ((UST_Last_Price + Eris_Settlement_Price_[T-1] – UST_Settlement_Price_[T-1]+
ETSS_Price – 100 – “PastFxdFltPmts [B]” + “ErisPAI [C]” – “NetUnpaidFixedFloatingAccrual” ) * 10) / CleanPV01) – UST_Last_%) * 100
 

where

Field Description Source(s) Frequency of Change Example
(YIYUXYU4 on 8/29/2024)
Par Swap Rate (in basis points) Par Rate Equivalent (%) Output of calculation above Tick-by-tick -46.7
ETSS_Price Futures price of the Eris/Treasury Swap Spread (e.g., bid, ask, mid, trade) CME Globex market data (Bloomberg, Refinitiv & others) Tick-by-tick 0.06
UST_Last_Price Last Traded Price of UST Future CME Globex market data (Bloomberg, Refinitiv & others) Tick-by-tick 113.296875
Eris_Settlement_Price_[T-1] Settlement price from the previous trading day of the Eris SOFR Swap future CME Globex market data (Bloomberg, Refinitiv & others); CME DataMine; Eris FTP Daily 103.17
UST_Settlement_Price_[T-1] Settlement price from the previous trading day of the US Treasury future CME Globex market data (Bloomberg, Refinitiv & others) Daily 113.3125
UST_Last_% Most recent forward yield of Cheapest to Deliver (CTD) of the UST Future CME Globex market data (Bloomberg, Refinitiv & others) Tick-by-tick 3.864
Coupon Contract fixed rate (%) CME S&V; CME DataMine; Eris FTP; Bloomberg Static per contract (rare exceptions) 3.75
PastFxdFltPmts [B] An Eris Contract Price is constructed as 100 + A + B - C. This value records the Eris B value, and is equal to the cumulative fixed and floating coupon cash flow payments that take place during the life of the underlying swap. This value is Zero until the date of the first fixed or floating coupon payment, at which point, cash flows move from Swap NPV (the Eris A value) into PastFxdFltPmts (Eris B value). CME S&V; CME DataMine; Eris FTP; Bloomberg Once per year, on payment date 0.0000
ErisPAI [C] An Eris Contract Price is constructed as 100 + A + B - C. This value records the Eris C value, which is the accumulating PAI (price alignment interest). Eris PAI is calculated as accumulating daily SOFR interest on the previous day's Swap NPV. CME S&V; CME DataMine; Eris FTP; Bloomberg Twice daily -0.016833399
NetUnpaidFixedFloatingAccrual This value records fixed coupon accruals, minus floating coupon accruals since the start date of the current fixed and floating coupon calculation periods. As this value has not yet been paid, it is a component of Swap NPV. CME S&V; CME DataMine; Eris FTP; Bloomberg Daily (but only after effective date) 0.0000
CleanPV01 $ price change for a 1bp (0.01%) change in the Coupon of the contract, where the swap starting date is set as the later of the contract Effective Date or the current Evaluation Date. CME S&V; CME DataMine; Eris FTP; Bloomberg; Trader model At user’s discretion; many choose to update daily 84.31