15-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 | CME Globex: | 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) | CME ClearPort: | Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT | |
| Minimum Price Fluctuation |
0.0100 = $10.00 Nearest 10 IMM Expiries changing to 12 IMM Expiries when available: 0.0020 = $2.00 |
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| Product Code | CME Globex: LILCME ClearPort: LILClearing: LIL | ||||
| Listed Contracts | At least 2 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). |
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| 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 | ||||
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