Eris Swap Futures Daily Settlement Procedure

Daily Settlement Procedure

 

Daily settlements of the Eris Swap futures are determined based on trading activity on CME Globex.

  1. If trades occur on CME Globex in the 1-minute range between 13:59:00 and 14:00:00 Central Time (CT), then the VWAP of trades during the last [60] second settlement window that ends at 14:00 CT is used.
    1. If the VWAP is lower than the Bid from the snapshot, settle at the Bid
    2. If the VWAP is higher than the Ask from the snapshot, settle at the Ask

  2. If no trades occur on CME Globex during the settlement window between 13:59:00 and 14:00:00 CT, then a settlement based on the Bid/Ask during the settlement window is used. The settlements will be based on outright contract months on Globex. An algorithm is run to find a set of prices that best fits the market activity and falls within the bid offer market in outright contracts.

  3. If there are no bids and offers (or trades) in the order book to calculate a settlement value, then the following process is used:
    1. If the adjacent points to the missing rate have quotes, interpolate between the daily changes in those adjacent points to calculate a rate for the missing point.

      For example, if there was not a valid end of day quote for the 5Y Eris Swap Future, interpolate (linear) a rate based upon the daily change in the 4Y Eris Swap Future and the 7Y Eris Swap Future.

    2.  If the adjacent points to the missing rate do not have quotes, value is determined based on the estimated value of an equivalent interest rate swap along with observations from Eris futures market.

Additional ERIS details:

In the event the aforementioned calculations described in this advisory cannot be made or if CME Group staff, in its sole discretion, determines that anomalous activity yields results that are not representative of the fair value of the contract, the staff may determine an alternative settlement price.