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.
Eris PAI- Contents
|Table of Contents|
Eris PAI data is available from December 3, 2018 to present day.
|PAI Rate Top of Day|
|PAI Rate Previous Day||12/3/18||Present|
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.
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 7:50 am CST.
Previous day PAI data will be available at approximately 4:30pm CT (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?
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?