4-YEAR ERIS SWAP FUTURES - CONTRACT SPECS

Contract Unit 100 points plus the net present value (NPV) of all past and future swap cash flows
Price Quotation U.S. dollars and cents per price point
Trading Hours CME Globex: Sunday - Friday 6:00 p.m. - 5:00 p.m.ET (5:00 p.m. - 4:00 p.m. CT).  Monday - Thursday 5:00 p.m. - 6:00 p.m. ET (4:00 p.m. - 5:00 p.m. CT) daily maintenance period
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 0.0050 price points = $5.00
Nearest 10 IMM Expiries: 0.0010 price points = $1.00
Product Code CME Globex: LID
CME ClearPort: LID
Clearing: LID
Listed Contracts On-the-Run quarterly contracts (Mar, Jun, Sep, Dec) listed for at least 2 quarters cycle plus Off-the Run contracts until expiry. 
Settlement Method Financially Settled
Termination Of Trading Trading terminates on the business day prior to 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