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 BGBM 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, realtime 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 zeroNPV 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+BC)
 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
