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Eris Swap futures feature quarterly IMM starting contracts, with fixed MAC coupons, and underlying tenors of 2, 3, 4, 5, 7, 10, 12, 15, 20, and 30 years.
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Access to Eris Swap futures products does not need to be explicitly permissioned in Access Manager. |
Contents
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For example, the last trade and final settlement dates for the December 2018 5 Year Eris Swaps future is in December 2023.
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Customers should note the named month (e.g., LITZ18) in the external name in MDP 3.0 tag 55-Symbol and iLink tag 107-SecurityDesc does not reflect the last trade date. The instrument last trade date can be found by leveraging FIX tags 865=7 (Last eligible trade date) and 1145-EventTime in the Security Definition (tag 35-MsgType=d) message. |
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Buy 1 March 2019 2-Year Eris Swap futures
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CME Globex only lists Eris Swap futures spreads for the “on the run” legs. The spread will expire when the earliest leg transitions to “off the run” instead of when the earliest leg expires. |
Example: LITZ18-LITH19
- Leg 1: LITZ18 – earliest off the run instrument
- Transition to Off the Run date: 18 Dec 2018 (day before the third Wednesday of Dec 2018)
- Expiration/LTD: 18 Dec 2020
- Spread
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