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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


DatasetSample File
PAI Rate Top of Day12/3/18
PAI Rate Previous Day12/3/18




FAQ

 Eris PAI Format

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.

 Eris PAI Availability

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.

 Eris PAI Delivery

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.

 Eris PAI Interpretation

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

BGUnpaidFixedAccrualStartDate

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



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