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10-year Eris Swap Futures Contract Specs

Contract Unit $1,000 per point ($100,000 per contract)
Price Quotation Prices are made in terms of price points: 100 points plus the net present value (NPV) of all past and future swap cash flows.
Trading Hours Sunday - Friday 5:00 p.m. - 4:00 p.m. (6:00 p.m. - 5:00 p.m. ET) with a 60-minute break each day beginning at 4:00 p.m. (5:00 p.m. ET)
Minimum Price Fluctuation 0.0100 = $10.00
Nearest 12 IMM Expiries: 0.0020 = $2.00
Product Code CME Globex: LIY
CME ClearPort: LIY
Clearing: LIY
Listed Contracts 3 On-the-Run contract months in the March Quarterly cycle (March, June, September, December) plus Off-the-Run contracts until expiry.
Settlement Method Financially Settled
Termination Of Trading Trading terminates on the NY business day before the Maturity Date, defined as the date tenor-years forward from the IMM Effective Date, based on ISDA modified following date conventions.
Settlement Procedures The Daily Settlement Price shall be as follows:
             St = 100 + At + Bt - Ct
             St = Settlement price at time t
             At = Net Present Value (NPV) of the future cash flows at time t, based on OIS discounting
             Bt = Value of the historical fixed and floating amounts since contract inception
             Ct = Eris Price Alignment Amount (or Eris PAA).
The Exchange and CME Clearing calculate Daily Settlement Price to 4 decimals of precision (e.g., 100.1234).
Position Limits CBOT Position Limits
Exchange Rulebook CBOT 61
Block Minimum Block Minimum Thresholds
Price Limit Or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing