This page describes Eris PAI (Price Alignment Interest) data available from CME DataMine.

This dataset provides historical settlements and related pricing components for Eris Swap Futures, a leading alternative to traditional OTC IRS now listed for trading by CME Group. Includes, historical cash flows, net present values (NPV) of future cash flows, interest on NPV, and price conversion data.  


Dates Available

Eris PAI data is available from December 3, 2018 to present day. 

By File



File

Start Date

End Date
PAI Rate Top of Day

12/3/18

Present
PAI Rate Previous Day12/3/18Present



Sample Files


DatasetFile & Trade Date
PAI Rate Top of DayTOP_2022-02-23
PAI Rate Previous DayPREV_2022-02-23




FAQ

What format is the file delivered in?

Data is provided in .csv format (comma separated values).

Are files compressed?

No, the files are not compressed into zip files.

What Eris data is available on CME DataMine?

Historical Coupons (B), ErisPAI (C), PV01 and DV01 values are delivered daily.

Eris PAI files carry crucial contract reference data, including the following:

  • Swap effective date and cash flow alignment date (unadjusted swap accrual end date)
  • Contract fixed coupon
  • Past fixed and floating payments (B value)
  • Eris PAI (C value)

Click here to download the full Eris PAI file data glossary in CSV format 

How many files are available per day?

Two files are available per day. They are the Top Day PAI and Previous Day PAI files.

How far back do you maintain these records?

These files go back to December 3, 2018.

Do you have sample files available?

Yes, see Sample Files section above.

Are there any anomalies in the the data?

There are no known anomalies.

When are these files delivered?

Top day PAI data will be available at approximately 7:05am CST. Top day PAI republishes the Eris C value for a trade date following the publication of SOFR for the trade date and is available at approximately 7.05 CT on the trade date (T).

Previous day PAI data will be available at approximately 4:30pm CT (T-1). Previous day PAI carries the Eris C value for a trade date prior to SOFR being published for that trade date and is available at approximately 4.30pm CT on the date prior to the trade date (T-1).

If I purchase daily updates of these datasets, will I get historical data as well?

No. When an order is placed for daily updates of these datasets, the first file included will be generated for the start date of the subscription. However, files remain accessible for 30 days after purchase, enabling the customer to reference previous day’s data.

How is this data relevant for Eris swap futures?

Past fixed and floating payments (Eris "B" value) is all fixed and floating coupon payments that have already taken place, i.e. moved from being in the future (and out of Eris NPV), into the Eris B value. This value only changes on fixed and floating coupon payment dates.

ErisPAI ("C"), Price Alignment Interest,  is analogous to the interest payment that would be paid (or received) on the pledged collateral received in lieu of a positive Swap NPV (Eris A value, the swap mark to market) for the equivalent collateralized OTC swap. Or collateral posted in lieu of a negative mark to market for the equivalent collateralized OTC swap. PAI is the accumulated overnight SOFR interest on the previous days SwapNPV adjusted for today’s cash flows, and it is calculated at the start of each trading day. Prior to the SOFR publication, an estimate is published using the previous day’s SOFR rate (hence the PAI RATE PREV file). Once SOFR is published, PAI RATE TOP published the final ErisPAI (C) for the trading date.

PV01 is the change in value given a one basis point (0.01%) change in the underlying fixed rate. This measure is necessary to determine the implied par rate equivalent of Eris swap futures trading quoted in Futures Price terms for comparison against other yield based products. 

DV01 is the change in value given a one basis point parallel shift in the forward curve used to determine portfolio risk and hedge ratios against other fixed income products

How large are these files?

The average file size is approximately 90KB.

Are there any anomalies in the files?

Yes, before July 12, 2019 columns BG-BM were not available in the dataset and starting on October 5th 2020, columns were updated for Eris SOFR futures

How is the data structured?

Click here to download the full Eris PAI file data glossary in CSV format 


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