Eris® SOFR Swap Futures
Overview

Swap-like Benefits• Futures contracts that replicate the amounts and timing of all
cash flows of the equivalent fixed versus floating, SOFRindexed swap.

• Favorable treatment for ‘40 Act Funds: no collateral
segregation, and efficient leverage ratio treatment underSection 18• Swap cash flows are replicated in a single unit of account,through the daily settlement of contract price with variation
margin.

• Flexible tax and accounting treatment: treat as accrual
instruments, with IRS 1256(e) tax hedging exemption, OR as
IRS section 1256(a) marked-to-market instruments, taxable on
a 60/40, long-term/short-term capital gains basis*• Daily price movements capture the changes in the present
value of future cash flows (swap NPV), plus all fixed andfloating accruals and payments due to the passage of time,and Price Alignment Interest (the implied interest on the daily
mark to market of future cash flows).
• 11 benchmark contract tenors, ranging from 1-year to 30-year
maturities, with quarterly IMM swap effective dates (thirdWednesday of March, June, September, and December).

• Eligible for designation as FASB (ASC-815) cash flow or fairvalue hedges* CME Group Inc. and its affiliates do not provide tax, legal or accounting
advice. This material has been prepared for informational purposes only,
and is not intended to provide, and should not be relied on for, tax, legal oraccounting advice. You should consult your own tax, legal and accounting
advisors before engaging in any transaction.

• Swap terms follow a standard ISDA, fixed vs daily
compounded SOFR overnight index swap, with coupons paidannually on an actual/360 daycount basis, with payments
made with a 2-day lag.
• Contracts do not expire quarterly, but remain listed futures
for the entire swap accrual period, cash-settling to realized
SOFR fixings during the full tenor-life of the swap.

THE ERIS CONTRACT PRICEThe Eris SOFR contract price captures the three “value ledgers” of the equivalent SOFR swap.

Eris Price = 100 +A
Future cash flows+B–

C

Past cash flows

ASwap NPV

B

Past payments of fixed and floating (daily compounding SOFR) coupons

CPrice alignment interest (accumulated daily SOFR interest on the Swap NPVless today’s cash flows)

ERIS SOFR SWAP FUTURES CONTRACT SPECIFICATIONSEXCHANGE LISTING

CBOTTRADING HOURS

Globex trading hours (5:00 p.m. CT to 4:00 p.m. CT, Sunday to Friday)

CONTRACT SIZE

1 contract = $100,000 notional for all tenors

CONTRACT STRUCTURE

Contracts embed the exchange of receiving fixed annual amounts, versus paying annual floatingamounts. The annual floating amounts are determined from the daily compounded SOFR fixings
during each Accrual Period

CONTRACT LISTINGS

Quarterly IMM Effective Date Contracts (3rd Wednesday of March, June, September and December
each year), listed [9] months prior to the Contract Effective Date

CONTRACT CODES

6-character alpha-numeric codes, made up of a 3-character prefix representing the contract tenor,
and a 3-character suffix representing the Contract Effective Date

TENORS

1Y

2Y

3Y

4Y

5Y

7Y

10Y

12Y

15Y

20Y

30Y

CONTRACT PREFIX

YIA

YIT

YIC

YID

YIW

YIB

YIY

YII

YIL

YIO

YIE

CONTRACT SUFFIX

3-characters: 1 character IMM Effective Month (Mar, Jun, Sep, Dec: H, M, U, Z), followed by a2-digit effective year (e.g. YIWZ20 = Dec’20 Eris SOFR 5Y, maturing Dec’25)

TRADING CONVENTIONSLong Futures Position Holder: Fixed Rate Receiver, Floating Rate (SOFR) Payer
Short Futures Position Holder: Fixed Rate Payer, Floating Rate (SOFR) Receiver

CONTRACT EFFECTIVE DATE

The quarterly IMM date for the respective contract

FIXED RATE

Fixed interest rate, set to mirror the Sifma SOFR MAC rates, as published by CME GroupFLOATING RATE

USD-SOFR-COMPOUND
Daily compounded interest rate determined from SOFR fixings during the Accrual Periodd = total days in the payment period
SOFRi = SOFR fixings during the interest periodni = number of interest accrual days for the SOFRi fixing period* Supplement 57 to the 2006 ISDA Definitions published on May 16, 2018

RATE PAYMENT FREQUENCY

Annual, for both Fixed and Floating Rates

ACCRUAL PERIODS

Annual periods commencing on the Contract Effective Date, to each subsequent annual calendar
date thereafter, aligned with the Cash Flow Alignment Date (CFAD), subject to adjustment inaccordance with the Modified Following Business Day Convention

DAYCOUNT CONVENTION

Actual/360PAYMENT DATES

2 business days following each Accrual Period end date

HOLIDAY CALENDAR

US Government Securities Market (Sifma)

CASH FLOW ALIGNMENTDATE (“CFAD”)

Date used for aligning fixed and floating Accrual Period end dates and determining the contract
Maturity Date
The Cash Flow Alignment Date (CFAD) is determined by adding the tenor in years to the Effective
Date, and may fall on any calendar day, including weekends and holidays.
e.g. an Eris SOFR Future with an Effective Date of 12/16/2020 and a tenor of 3 years implies a CashFlow Alignment Date of 12/16/2023, the calendar date 3 years following the Effective Date. Although
12/16/2023 is a Saturday, this date is still used to align annual Accrual Period End Dates. As
12/16/2023 is a Saturday, the final Accrual Period End Date rolls to Monday 12/18/2023, in accordancewith the Modified Following Business Day Convention

CONTRACT MATURITY DATE

The final payment date, which is 2 business days following the final Accrual Period End Date

LAST TRADING DAY

2 business days prior to the contract Maturity DateERIS SOFR SWAP FUTURES: CONTRACT SPECIFICATIONS (CONTINUED)DAILY SETTLEMENT PRICE

Contracts will be priced on a basis of 100
The Settlement Price for each contract is defined as:
St = 100 + At + Bt - Ct
St = Settlement Price on date t
At = The net present value of future Fixed and forecasted Floating Payments on date t, discounted
at SOFR
Bt = Accumulated historical Fixed and Floating Payments to date t
Ct = Accumulating daily SOFR interest on amount { At-1 less the Fixed and Floating Payments
taking place on date t } calculated in arrears and published daily, referred to as Eris Price Alignment
Interest (or Eris PAITM). Eris PAITM accrues to the Contract Maturity Date. See footnote 1 below forfurther details
Eris Settlement Prices will be calculated and published to 4 decimals of precision (e.g., 100.1234),
equivalent to the nearest $0.10/10 cents per contract

FINAL SETTLEMENT PRICE

100 plus the net accumulated value of all payments during the contract life::
Sfinal = 100 + Bfinal - Cfinal
Sfinal = Settlement Price on Contract Maturity Date
Bfinal = Accumulated historical Fixed and Floating Payments during life of contract
Cfinal = Eris PAITM on the Contract Maturity Date

PRICE CONVENTION

Eris SOFR contracts trade on a decimal price indexed to 100, in eligible tick increments; the value of1.000 price point is equal to $1000.00

TICK SIZES

Tick sizes vary by tenor (as below) from $2.50 - $40 / 0.0025-0.040, equivalent to between 1/10th 3/10th of a basis point in yield, 0.001-0.003%. All contracts settle to 4 decimals, i.e. the nearest $0.10

CALENDAR SPREADS

Calendar Spreads will be offered for trading in the 3 week period prior to each Contract Effective
Date. CME Globex contract codes for Calendar Spreads are made up of the Contract Codeprefix followed by a 4-character suffix, made up of a 2-character front month code followed by a2-character back month code (e.g. YIAZ0H1 = 1Y Calendar Spread from Dec 2020 to March 2021)

TENOR

1Y

2Y

3Y

4Y

5Y

7Y

10Y

12Y

15Y

20Y

30Y

CONTRACT

YIA

YIT

YIC

YID

YIW

YIB

YIY

YII

YIL

YIO

YIE

INITIAL TICK
$/PX

$2.50

$2.50

$5.00

$10.00$10.00$20.00$20.00$20.00$20.00$40.00$40.000.00250.00250.00500.01000.01000.02000.02000.02000.02000.04000.0400CALENDAR SPREADSTICK SIZE

$2.50

$2.50

$2.50

$5.00

$5.00

$10.00$10.00$10.00$10.00$20.00$20.000.00250.00250.00250.00500.00500.01000.01000.01000.01000.02000.0200

INTER- COMMODITYSPREADSInter-Commodity Spreads (ICS) will be available in both Eris SOFR vs Eris SOFR and Eris LIBOR vsEris SOFR. contract codes are as follows:
Eris SOFR vs Eris SOFR:
1y vs 2yYIA/YIT1y vs 3yYIA/YIC

2y vs 3yYIT/YIC

2y vs 5yYIT/YIW3y vs 4y
YIC/YID

3y vs 5yYIC/YIW4y vs 5yYID/YIW

5y vs 10yYIW/YIY

EAT

EIC

ETC

ETW

EID

ECW

EDW

EIY

Eris ICE LIBOR vs Eris SOFR:VARIABLE TICK SIZES

4y vs 4y
LID/YID

5y vs 5y
LIW/YIW

7y vs 7y
LIB/YIB10y vs 10y
LIY/YIY

30y vs 30y
LIE/YIE

EDI

EIW

EBB

EYY

EEE

To be implemented once contracts reach sufficient aging – outright contract tick sizes will reduceonce over the life for each contract, based on the remaining tenor. This will facilitate trading aged
contracts on a tighter and more granular bid/ask spread as their price sensitivity to changes inmarket rates also reduces

Individual contract dates and coupons may be obtained from: www.erisfutures.com/cme/contractlookup

The Eris Settlement Price• A long position in Eris SOFR Swap Futures reflects a RECEIVEFIXED / PAY DAILY COMPOUNDED SOFR swap position,
consistent with the buy/sell direction of other CME Group
interest rate futures.
• Orders match based on price
Eris Price = 100 + A + B - C
A =	Swap NPV, the net present value of future fixed andfloating cash flows, discounted on the SOFR curve
B =	Past payments of fixed and floating coupon cash flows
C =	Price Alignment Interest (“PAI”). The accumulated
overnight SOFR interest on the previous day’s Swap
NPV (the “A” component above) less today’s cash flows

Converting Eris Price to Equivalent Par Swap
Rate/Yield• Equivalent Par Swap Rate % =	Eris Contract Fixed Rate% – ((Eris (A) $ Value/ Contract $PV01)/100)% where, $A = (Eris Price – 100 – B + C)*$1,000• Reference data to convert an Eris Price to an equivalent par
swap rate are available from CME DataMine, the Eris
Contract Lookup tool (erisfutures.com/cme/contractlookup),
the Eris ftp server (http://files.erisfutures.com/ftp/), the Eris ftp
server (file location, file names and data field locations
below), or the Eris LiveMarkets Microsoft Excel add-in(erisfutures.com/cme/swapcurve).
– Eris B’s, C’s and PV01’s may be found in columns AD, AEand BF in the following daily files, found in file location
http://files.erisfutures.com/ftp/○ Eris_Instruments_YYYYMMDD_Prices_Prev_PAI_Rate.csv publishes B, and estimate of C prior to SOFR
being published at 8am ET daily○ Eris_Instruments_YYYYMMDD _Prices_TopDay_PAI_Rate.csv publishes same B as Prev_PAI_Rate file, andfinal C for trading day once SOFR is published at 8amET daily○ Eris_Instruments_YYYYMMDD _Settles.csv Daily
settlement file, B and C remain same as TopDay_PAI_Rate file
○ Full data field glossary table

Execution• Eris SOFR Swap Futures are tradable on CME Globex,CME Direct or 3rd-party e-trading platforms connected toCME Group.
• Block Trading: Eris contracts may be privately negotiated(“PNT”) subject to preapproval of credit limits and CBOT
rulebook guidelines.
• Minimum Block Trading Size: 100 Eris contracts for outrighttrades, or 100 total Eris contracts for multi-leg trades.
• Trading off-the-run contracts and contracts without live orderbooks: all Eris contracts are accessible for trading on CME
Globex, CME Direct and for submission to CME Clearing as
block trades and EFRPs via CME Direct or CME ClearPort.
Where an order book may no longer be streaming, trading
may take place by electronic Request for Quote or via Block/PNT trading.

Market Data & the Live Eris Swap Curve• CME Group publishes real-time Eris market data on CME
Globex, CME MDP 3.0 (channel 344) and CME DataMine.
• Eris SOFR Swap Futures settle to the Eris SOFR Swap Curveat 3pm ET daily. The Eris SOFR Curve is anchored to
executable prices in the central limit order books of Eris SOFR
contracts and a full curve is fitted to price all off the run Eris
SOFR contracts.
• Eris Innovations distributes the Live Eris SOFR Swap Curveand various market data based on this curve, including live
pricing of Eris contracts in multiple formats, implied spot start
par swap rates, PV01, DV01, CME maintenance margins &theoretical mid prices of contracts without live order books
through a number of channels, including the Eris Innovations
website and a Microsoft Excel add-in; to learn more about theLive Eris Swap Curve go to erisfutures.com/cme/swapcurve.

PAI, or Price Alignment Interest, is the accumulated overnight interest on the previous closing day’s SwapNPV (Eris A value) minus the cash flows taking place on
the PAI date, calculated using the daily SOFR. This amount is equivalent to the accumulated interest paid on variation margin posted in lieu of the mark to marketof the analogous CME cleared over-the-counter swap

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