Swap futures offer interest rate swap exposure with the margin efficiency, simplicity and safety of a standardized futures contract.
Benefits of Swap futures:
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
Eris SOFR contract specs | Eris SOFR data | Eris SOFR Primer
MAC SOFR Swap futures
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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 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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