Swap futures offer interest rate swap exposure with the margin efficiency, simplicity and safety of a standardized futures contract.
Benefits of Swap futures:
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.
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.
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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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