Eris SOFR Contract Codes
Treasury Inter-Commodity Spreads, Eris Inter-Tenor Spreads, Bloomberg, Refinitiv Tickers
Eris SOFR vs Treasury Futures Inter-Commodity Spreads
| Product Name | Spread Ratio | CME Globex (Sep 2024 Contract Example) |
Bloomberg |
| 2-Year Eris SOFR Swap Futures (YIT) - 2-Year T-Note Futures (ZT) |
|
ETU 02-01 Z24-Z4 | YITTU Comdty |
| 5-Year Eris SOFR Swap Futures (YIW) - 5-Year T-Note Futures (ZF) |
|
EWV 01-01 Z24-Z4 | YIWFV Comdty |
| 7-Year Eris SOFR Swap Futures (YIB) - 10-Year T-Note Futures (ZN) |
|
EBN 01-01 Z24-Z4 | YIBTY Comdty |
| 10-Year Eris SOFR Swap Futures (YIY) - Ultra 10-Year T-Note Futures (TN) |
|
EYT 01-01 Z24-Z4 | YIYUXY Comdty |
Please note: Bloomberg tickers are currently only available for same-month combinations, like YIWH24-FVH4 and YIWM24-FVM4. Please consider sending a request to your Bloomberg rep for them to add the staggered-month combinations (e.g., YIWH24-FVM4), which are relevant for the 2.5 week period each quarter between the Treasury Futures roll (e.g., Feb 29) and the Eris SOFR roll (e.g., Mar 18).
Eris SOFR Inter-Tenor Spreads
| Product Name | Spread Ratio | CME Globex (Sep 2024 Contract Example) |
Bloomberg |
| 1Y Eris SOFR Swap Future vs 2Y Eris SOFR Swap Future |
|
EAT 01-01 Z24 | YIAYIT Comdty |
| 1Y Eris SOFR Swap Future vs 3Y Eris SOFR Swap Future |
|
EIC 01-01 Z24 | YIAYIC Comdty |
| 2Y Eris SOFR Swap Future vs 3Y Eris SOFR Swap Future |
|
ETC 01-01 Z24 | YITYIC Comdty |
| 2Y Eris SOFR Swap Future vs 5Y Eris SOFR Swap Future |
|
ETW 05-02 Z24 | YITYIW Comdty |
| 3Y Eris SOFR Swap Future vs 4Y Eris SOFR Swap Future |
|
EID 01-01 Z24 | YICYID Comdty |
| 3Y Eris SOFR Swap Future vs 5Y Eris SOFR Swap Future |
|
ECW 05-03 Z24 | YICYIW Comdty |
| 4Y Eris SOFR Swap Future vs 5Y Eris SOFR Swap Future |
|
EDW 01-01 Z24 | YIDYIW Comdty |
| 5Y Eris SOFR Swap Future vs 10Y Eris SOFR Swap Future |
|
EIY 02-01 Z24 | YIWYIY Comdty |
| 5Y Eris SOFR Swap Future vs 7Y Eris SOFR Swap Future |
|
EIB 03-02 Z24 | YIWYIB Comdty |
| 7Y Eris SOFR Swap Future vs 10Y Eris SOFR Swap Future |
|
EBY 03-02 Z24 | YIBYIY Comdty |
For a complete list of Eris SOFR contracts Click Here
Bloomberg Tickers
Eris SOFR
| Tenor | Outright Ticker | Calendar Spread Ticker |
| Eris SOFR 1 yr | YIAZ24 Comdty <go> | YIAU4Z4 Comdty <go> |
| Eris SOFR 2 yr | YITZ24 Comdty <go> | YITU4Z4 Comdty <go> |
| Eris SOFR 3 yr | YICZ24 Comdty <go> | YICU4Z4 Comdty <go> |
| Eris SOFR 4 yr | YIDZ24 Comdty <go> | YIDU4Z4 Comdty <go> |
| Eris SOFR 5 yr | YIWZ24 Comdty <go> | YIWU4Z4 Comdty <go> |
| Eris SOFR 7 yr | YIBZ24 Comdty <go> | YIBU4Z4 Comdty <go> |
| Eris SOFR 10 yr | YIYZ24 Comdty <go> | YIYU4Z4 Comdty <go> |
| Eris SOFR 12 yr | YIIZ24 Comdty <go> | YIIIU4Z4 Comdty <go> |
| Eris SOFR 15 yr | YILZ24 Comdty <go> | YILU4Z4 Comdty <go> |
| Eris SOFR 20 yr | YIOZ24 Comdty <go> | YIOU4Z4 Comdty <go> |
| Eris SOFR 30 yr | YIEZ24 Comdty <go> | YIEU4Z4 Comdty <go> |
For a complete list of Eris SOFR contracts Click Here
Eris maintains a selection of Bloomberg Monitor windows which aggregate the presentation of Eris contracts in a single view. These windows may be launched as Bloomberg Launchpad objects and are maintained by Eris so that they present the current front contracts and the calendar rolls when relevant. Contact Eris by email or message “ERIS INNOVATIONS” on the Bloomberg Terminal IB or messaging service.
Refinitiv Tickers
Eris SOFR
| Tenor | Outright Ticker | Calendar Spread Ticker |
| Eris SOFR 1 yr | 0#AIY: | 0#AIY-: |
| Eris SOFR 2 yr | 0#TIY: | 0#TIY-: |
| Eris SOFR 3 yr | 0#YIC: | 0#YIC-: |
| Eris SOFR 4 yr | 0#YID: | 0#YID-: |
| Eris SOFR 5 yr | 0#YIW: | 0#YIW-: |
| Eris SOFR 7 yr | 0#BIY: | 0#BIY-: |
| Eris SOFR 10 yr | 0#YIY: | 0#YIY-: |
| Eris SOFR 12 yr | 0#YII: | 0#YII-: |
| Eris SOFR 15 yr | 0#YIL: | 0#YIL-: |
| Eris SOFR 20 yr | 0#YIO: | 0#YIO-: |
| Eris SOFR 30 yr | 0#EIY: | 0#EIY-: |
For a complete list of Eris SOFR contracts Click Here
