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, SOFR, and TBA 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
- Eris SOFR Swap futures are eligible for portfolio margining with CME Cleared OTC swaps, unlocking new efficiencies and deeper liquidity
- Standardized, quarterly IMM start date swaps, offered as efficient futures contracts
- Quarterly IMM effective dates in tenors of 1-, 2-, 3-, 4-, 5-, 7-, 10-, 12-, 15-, 20- and 30-year underlying maturities
- No forced expiry or delivery on quarterly IMM swap effective dates; open positions may be rolled to the next IMM dated contract or held open to as late as the underlying tenor maturity
- Front IMM effective dated contracts and off-the-run (past IMM effective date) contracts settle daily to a swap curve calibrated to re-price front contract order book mid prices at 3pm ET (Eris publishes settlement discount factors at approximately 3.40pm ET daily)
- Contracts follow the Eris Methodology®, which captures swap NPV, past fixed and floating coupons and price alignment interest into the settlement daily price, permitting a traditional swap to be listed as a futures contract
- Offering futures efficiency, with delivery certainty into a SOFR MAC swap
- USD-denominated quarterly contracts expire on IMM dates; 2-, 5-, 7-, 10-, 20- and 30-year underlying tenors
- $100K contract size
- Quoted in terms of NPV (100 points represent the par value of $100,000 – each full point equates to $1,000)
- At expiration, all open positions deliver into CME Group Cleared Interest Rate Swaps
- Settlement: Physical delivery of IRS that meets delivery standard
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