Standardized, quarterly IMM start date swaps, offered as efficient futures contracts
Quarterly IMM effective dates in tenors of 1-, 2-, 3-, 4-, 5-, 7-, 10-, 12-, 15-, 20- and 30-year underlying maturities
No forced expiry or delivery on quarterly IMM swap effective dates; open positions may be rolled to the next IMM dated contract or held open to as late as the underlying tenor maturity
Front IMM effective dated contracts and off-the-run (past IMM effective date) contracts settle daily to a swap curve calibrated to re-price front contract order book mid prices at 3pm ET (Eris publishes settlement discount factors at approximately 3.40pm ET daily)
Contracts follow the Eris Methodology®, which captures swap NPV, past fixed and floating coupons and price alignment interest into the settlement daily price, permitting a traditional swap to be listed as a futures contract
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