How is this data relevant for Eris swap futures?
Historical Coupons (B) are the past accrued fixed and floating amounts and change every 3 months, beginning 3 months past the effective date.
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 mark to market (or collateral posted in lieu of a negative mark to market) for the equivalent collateralized OTC swap. PAI is the accumulated overnight interest on the previous days NPV of future cash flows calculated using the overnight Fed Funds rate at the start of each day.
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.
How is the data structured?
Column | Field | Description |
A | Symbol | Contract symbol in Globex format |
B | FinalSettlementPrice | Final settlement price as of most recently published settlement |
C | EvaluationDate | Date the file was created |
D | FirstTradeDate | Historical first trade date |
E | ErisPAIDate
| The date from which return on variation margin will start to accrue |
F | EffectiveDate
| The start date of the first accrual period. Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) |
G | CashFlowAlignmentDate
| The date used for aligning all fixed and floating Reset Dates, and for determination of the Maturity Date. Effective Date + Tenor, unadjusted for holidays (CFAD) |
H | MaturityDate
| The final date to which fixed and floating amounts accrue. The last date of the contract. |
I | NPV (A)
| Net present value of the future cash flows, real-time A value |
J | FixedNPV
| The NPV (Net Present Value) for the fixed leg of the trade, calculated that day. |
K | FloatingNPV
| The NPV (Net Present Value) for the floating leg of the trade, calculated that day |
L | Coupon (%)
| Fixed coupon rate of the swap future |
M | FairCoupon (%)
| Shows the coupon rate that would result in a zero-NPV swap. |
N | FixedPayment
| Fixed Payment that occurs on the Evaluation Date. |
O | FloatingPayment
| Floating Payment that occurs on the Evaluation Date. |
P | NextFixedPaymentDate
| The date the next fixed payment will be made. |
Q | NextFixedPaymentAmount
| Next fixed payment amount (rate) based on coupon |
R | PreviousFixingDate
| The date the floating rate was set for the next floating payment |
S | PreviousFixingRate
| The rate set on the last reset date |
T | NextFloatingPaymentDate
| The date the next floating payment will be made. |
U | NextFloatingPaymentAmount
| Next floating payment amount |
V | NextFixingDate
| Next date of floating rate fixing |
W | PreviousSettlementDate
| The last business day a settlement price was calculated. |
X | PreviousSettlementPrice
| Settlement price calculated on Previous Settlement Date |
Y | PreviousErisPAI
| The Eris PAITM on the Previous Settlement Date. |
Z | FedFundsDate
| The date for which the fed funds date was published |
AA | FedFundsRate (%)
| The Fed Funds Rate published for the Fed Funds Date by the New York Federal reserve Bank used to calculate ErisPAI. |
AB | AccrualDays
| Number of days of accrued interest used in calculating ErisPAI |
AC | DailyIncrementalErisPAI
| This number represents the day over day ErisPAI value. |
AD | AccruedCoupons (B)
| This value represents accumulated fixed and floating amounts, B value |
AE | ErisPAI (C)
| Cumulative daily interest adjustment, C value |
AF | SettlementPrice (100+A+B-C)
| Unrounded settlement price |
AG | RFQ NPV TickSize ($)
| N/A |
AH | Nominal
| Notional value of the contract |
AI | ResetRateDescriptor
| Description of Float Rate. Sent for float leg on aged or spot starting swap futures. Not sent for forward starting swap futures. |
AJ | InterpolationFactor
| Multiplier that when applied on longer rate results in previous fixing rate. |
AK | HighTradePrice
| N/A |
AL | LowTradePrice
| N/A |
AM | LastTradePrice
| N/A |
AN | DailyContractVolume
| N/A |
AO | Tag55(T)
| N/A |
AP | Tag65(T)
| N/A |
AQ | Tag55(T+1)
| N/A |
AR | Tag65(T+1)
| N/A |
AS | LastTradeDate
| Last Trade Date |
AT | InitialSpeculatorMargin
| Initial Speculator Margin |
AU | SecondarySpeculatorMargin
| Secondary Speculator Margin |
AV | InitialHedgerMargin
| Initial Hedger Margin |
AW | SecondaryHedgerMargin
| Secondary Hedger Margin |
AZ | ExchangeSymbol (EX005)
| Globex product code |
AY | BloombergTicker
| Bloomberg ticker code |
AZ | FirstFixingDate
| First date of floating rate fixing |
BA | Category
| N/A |
BB | BenchmarkContractName
| N/A |
BC | PV01
| The present value of a 1bp change in the fixed rate. |
BD | DV01
| Present value of one basis points change in value if yield curve shifts 1bp. |
BE | ShortName
| N/A |
BF | EffectiveYearMonth
| Effective year month |
| BG | UnpaidFixedAccrualStartDate | The starting date of the accrual period of the next fixed coupon, #NA for contracts where the current settlement date is prior to the contract's swap effective date. |
BH | UnpaidFixedAccrual
| The value of the next fixed coupon that has accrued to the present settlement date and therefore not yet settled as a payment
|
BI | UnpaidFloatingAccrualStartDate
| The starting date of the accrual period of the next floating coupon, #NA for contracts where the current settlement date is prior to the contract's swap effective date
|
BJ | UnpaidFloatingAccrual
| The value of the next floating coupon that has accrued to the present settlement date and therefore not yet settled as a payment
|
BK | NetUnpaidFixedFloatingAccrual
| UnpaidFixedAccrual minus UnpaidFloatingAccrual
|
BL | NPV(A)lessNetUnpaidFixedFloatingAccrual
| The NPV (A) minus the NetUnpaidFixedFloatingAccrual
|
BM | AccruedCoupons(B)plusNetUnpaidFixedFloatingAccrual
| Past paid fixed and floating cash flows plus NetUnpaidFixedFloatingAccrual
|