Staying Ahead of the Curve with Deliverable Swap Futures

"Butterfly" Trades Among Several Possible Strategies

Deliverable Interest Rate Swap Futures, launched by CME Group December 3, offer new tools to enable swap rate curve trades in futures form. Available trading strategies include steepening and flattening views on the slope of the forward-starting swap rate curve, as well as butterfly trades to express a view on the shape of the curve.

"The goal of any swap rate curve trade is to capitalize upon changes in spreads among the yields embedded in the curve trade position," CME Group analyst James Boudreault wrote in a report detailing specific sample trades using the new contracts.

Whatever an investor’s view on rates, "the swap rate spread exposure embedded in the (deliverable swap futures) spread will bear a close and reasonably direct relationship to the swap rate spread of the underlying, forward-starting interest rate swaps," Boudreault said.


Futures are the first futures contracts allowing for delivery of a CME-cleared over-the-counter interest rate swap. The contracts provide swap exposure and futures-style margining, which equates to margins that are approximately 50% lower than cleared Interest Rate Swaps.

Read Full Report

Futures & Options Trading

As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, weather and real estate. CME Group brings buyers and sellers together through the CME Globex electronic trading platform and trading facilities in New York and Chicago. CME Group also operates CME Clearing, one of the largest central counterparty clearing services in the world, which provides clearing and settlement services for exchange-traded contracts, as well as for over-the-counter derivatives transactions through CME ClearPort.

Idea Exchange

Idea Exchange is your direct link to the product managers, marketers, and the development teams who create and will allow you to review functionality, participate in focus and provide feedback on upcoming Web initiatives

Idea Exchange - Join Our User Focus Program

Contact Us

CME Group/Chicago HQ:
Local: +1 312 930 1000
Toll Free: +1 866 716 7274

Global Customer Contacts

More CME Group Direct Lines
Phone list by department

Global Partnerships


Global Offices Contact Information

Calgary Houston Chicago New York Washington São Paulo Belfast London Singapore Hong Kong Seoul Tokyo Beijing

© 2014 CME Group Inc. All rights reserved.

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.