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
Pending relevant CFTC regulatory review periods, effective April 10, for first trade date April 11, CME Group will list BSBY-indexed Eris Swap futures – an efficient and standardized way to price and hedge liquidity term premium and credit risk.
- Tenors: 1Y, 2Y, 3Y, 4Y, 5Y, 7Y, 10Y
- Contracts replicate the cash flows of a vanilla OTC fixed versus floating 3-month Bloomberg Short Term Bank Yield Index (BSBY) swap
- Quarterly listed contracts may be rolled to the next quarterly listing or may be held until the underlying final maturity date (the Tenor), enabling hedge accounting applications.
As the industry advances risk-free rate (RFR) indexed swaps, CME Group continues our collaborative approach to identify, understand, and create innovative solutions for hurdles faced by market participants.
Following a series of bilateral conversations, CME Group has developed the following proposal for discussion purposes only.
- Offering futures efficiency, with delivery certainty into a SOFR or Libor-based 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
- Standardized, quarterly IMM start date swaps, offered as efficient CME Group futures contracts
- SOFR-indexed contracts replicate the cash flows of a vanilla OTC SOFR OIS and Libor-indexed contracts replicate the cash flows of a vanilla OTC 3-month Libor Swap
- Quarterly IMM effective dates in tenors of 1-(SOFR only), 2-, 3-, 4-, 5-, 7-, 10-, 12-, 15-, 20- and 30-year underlying maturities, with pre-determined fixed coupons versus either O/N SOFR or 3M Libor, in $100K swap notional contract sizes
- 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
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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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