Swap Futures
View All Swap FuturesSwap futures offer interest rate swap exposure with the margin efficiency, simplicity and safety of a standardized futures contract.
Benefits of Swap futures:
- Lower margin levels of standardized products
- Automatic margin offset versus Treasury and Eurodollar futures
- Avoid added funding costs often charged on initial margin for cleared IRS
- Flexible execution methods – central limit order book trading or privately negotiate blocks and EFP/EFR package trades
- Expanded product choice and greater capital efficiencies with Eris Swap futures now listed on CBOT
CME Group has worked with market participants to develop a plan for transitioning price alignment and discounting for Swap futures from EFFR to SOFR.
SOFR-based Swap futures offer an efficient and standardized way to trade SOFR swaps.
Eris SOFR Swap futures
- Tenors: 1Y, 2Y, 3Y, 4Y, 5Y, 7Y, 10Y, 12Y, 15Y, 20Y, 30Y
- Replicate the cash flows of vanilla OTC SOFR OIS, including annual fixed payments at a pre-determined rate, and annual floating payments based on daily compounded SOFR.
- Option to hold contracts until final maturity (up to 30 years), both avoiding rolls and enabling hedge accounting applications previously reserved for swaps.
Eris SOFR contract specs | Eris SOFR data | Eris SOFR Primer
MAC SOFR Swap futures
- Tenors: 2Y, 5Y, 7Y, 10Y, 20Y, 30Y
- At expiration: all open positions deliver into CME Group Cleared SOFR swaps
- Settlement: Physical delivery of IRS that meets delivery standard
- Offering futures efficiency, with delivery certainty into a MAC swap
- Contract terms: USD-denominated quarterly contracts expire on IMM dates; 2-, 5-, 7-, 10-, 20- and 30-year underlying tenors, $100K contract size
- Mechanics: At expiration, all open positions deliver into CME Group Cleared Interest Rate Swaps
- Settlement: Physical delivery of IRS that meets delivery standard
- Contract terms: Quarterly IMM effective dates, 2-, 3-, 4-, 5-, 7-, 10-, 12-, 15-, 20- and 30-year underlying tenors, pre-determined fixed coupons versus 3M LIBOR, $100K contract size
- Mechanics: No forced quarterly expiry or delivery, contracts can be left outstanding to underlying maturity
- Settlement and valuation: Contracts maintain the Eris Methodology® including price alignment interest for pricing and settlement, and the live Eris curve data will be available
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Spreading Treasury Futures and MAC Swap Futures
Read a report that discusses the capital efficiencies of spreading Treasury futures with MAC Swap Futures.
MAC Swap Futures Correlation to OTC Swap Rates
Review the correlations between MAC Swap Futures prices and the corresponding par spot-starting interest rate swap (IRS) rates.
Delivery Manual for MAC Swap Futures
Get an overview of the physical delivery process for MAC Swap futures.
Pricing & Analysis on Bloomberg
Read contract descriptions, hedge ratio analysis, and more for MAC Swap Futures.
Understanding MAC Swap Futures
Learn more about MAC Swap Futures, including trading strategy, how to measure risk, and more.
Video tutorial series: The essentials of Eris Swap futures
- Eris 101: Why Trade Eris Over Other Products
- Eris 102: Ticker Conventions & Where to Find the Contracts
- Eris 103: Understanding Eris Prices & Preparing to Trade
- Eris 104: Determining Your Trade & Entering Orders
- Eris 105: Settlement / Post Trade Tax & Accounting Considerations
Eris Swap Futures Use Cases
View sample use cases for Eris Swap futures, including trading Treasury swap spreads and more.
Eris SOFR Market Data
Eris SOFR data is now available for testing including includes a SOFR swap curve, Eris SOFR settlement prices and individual fixed and floating swap leg details.
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