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
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?
Contract symbol in Globex format
Final settlement price as of most recently published settlement
Date the file was created
Historical first trade date
The date from which return on variation margin will start to accrue
The start date of the first accrual period.
Quarterly IMM Dates (3rd Wednesday of each March, June, September, December)
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)
The final date to which fixed and floating amounts accrue. The last date of the contract.
Net present value of the future cash flows, real-time A value
The NPV (Net Present Value) for the fixed leg of the trade, calculated that day.
The NPV (Net Present Value) for the floating leg of the trade, calculated that day
Fixed coupon rate of the swap future
Shows the coupon rate that would result in a zero-NPV swap.
Fixed Payment that occurs on the Evaluation Date.
Floating Payment that occurs on the Evaluation Date.
The date the next fixed payment will be made.
Next fixed payment amount (rate) based on coupon
The date the floating rate was set for the next floating payment
The rate set on the last reset date
The date the next floating payment will be made.
Next floating payment amount
Next date of floating rate fixing
The last business day a settlement price was calculated.
Settlement price calculated on Previous Settlement Date
The Eris PAITM on the Previous Settlement Date.
The date for which the fed funds date was published
The Fed Funds Rate published for the Fed Funds Date by the New York Federal reserve Bank used to calculate ErisPAI.
Number of days of accrued interest used in calculating ErisPAI
This number represents the day over day ErisPAI value.
This value represents accumulated fixed and floating amounts, B value
Cumulative daily interest adjustment, C value
Unrounded settlement price
RFQ NPV TickSize ($)
Notional value of the contract
Description of Float Rate. Sent for float leg on aged or spot starting swap futures. Not sent for forward starting swap futures.
Multiplier that when applied on longer rate results in previous fixing rate.
Last Trade Date
Initial Speculator Margin
Secondary Speculator Margin
Initial Hedger Margin
Secondary Hedger Margin
Globex product code
Bloomberg ticker code
First date of floating rate fixing
The present value of a 1bp change in the fixed rate.
Present value of one basis points change in value if yield curve shifts 1bp.
Effective year month
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.
The value of the next fixed coupon that has accrued to the present settlement date and therefore not yet settled as a payment
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
The value of the next floating coupon that has accrued to the present settlement date and therefore not yet settled as a payment
UnpaidFixedAccrual minus UnpaidFloatingAccrual
The NPV (A) minus the NetUnpaidFixedFloatingAccrual
Past paid fixed and floating cash flows plus NetUnpaidFixedFloatingAccrual