Swap futures offer interest rate swap exposure with the margin efficiency, simplicity and safety of a standardized futures contract.
Benefits of Swap futures:
CME is expanding its portfolio margining offering for IRS products to include ERIS SOFR-based Swap Futures in addition to existing eligible products. This enhancement will be enabled in the production environment on February 27, 2023, and can result in 85-95% reductions in margin for portfolios of Eris SOFR positions hedged with equivalent offsetting CME cleared swaps.
CME Clearing Advisory: Addition of ERIS SOFR-based Swap Futures for Portfolio Margining with OTC IRS
Learn more about how OTC PM impacts Eris Swap Futures markets
Following a lengthy validation period, CME Group has published its finalized methodology detailing the approach for converting Eris LIBOR to Eris SOFR contracts.
Eris SOFR Primer and Contract Specifications
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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.
Futures prices and equivalent par swap rates, contract DV01s/PV01s, maintenance margins, and other trading essentials
Searchable list of all Eris contracts, providing contract dates, coupon, futures price and price components: swap NPV, past coupons and price alignment interest
A guide to retrieving Eris SOFR and Libor settlement discount factors and settlement data
Eris Swap Futures Use Cases
Sample use cases for Eris Swap futures, including trading Treasury swap spreads and more.
Video tutorial series: The essentials of Eris Swap futures
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