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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 | 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 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 | 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). |
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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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CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.
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View AllCME Group / Chicago HQ
Phone: +1 312 930 1000
Toll Free (US Only): +1 866 716 7274
