Deliverable Swap Futures

Swap Futures

View All Swap Futures

Swap 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

Product Suite

Eris SOFR Swap Futures

  • 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

Eris SOFR Primer and Contract Specifications

MAC Swap Futures (SOFR-indexed)

  • 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

MAC Swap Futures Product Overview

MAC SOFR contract specs

Delayed Quotes

Product Code Contract Last Change Chart Open High Low Globex Vol

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