Get to Know Eris SOFR Swap futures

An efficient and standardized way to trade SOFR swaps:

  • Tenors: 1Y, 2Y, 3Y, 4Y, 5Y, 7Y, 10Y, 12Y, 15Y, 20Y, 30Y
  • Replicate the cash flows of vanilla OTC SOFR OIS, including annual fixed payments at a pre-determined rate, and annual floating payments based on daily compounded SOFR.
  • Option to hold contracts until final maturity (up to 30 years), both avoiding rolls and enabling hedge accounting applications previously reserved for swaps.

View full contract specs

2-YEAR ERIS SOFR SWAP FUTURES - CONTRACT SPECS

Contract Unit 100 price points plus the net present value (NPV) of all past and future swap cash flows
Price Quotation U.S.dollars and cents per price point
Trading Hours CME Globex: Sunday - Friday 6:00 p.m. - 5:00 p.m.ET (5:00 p.m. - 4:00 p.m. CT).  Monday - Thursday 5:00 p.m. - 6:00 p.m. ET (4:00 p.m. - 5:00 p.m. CT) daily maintenance period
CME ClearPort: Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT 
Minimum Price Fluctuation 0.0025 price points = $2.50
Product Code CME Globex: YIT
CME ClearPort: YIT
Clearing: YIT
Listed Contracts Quarterly contracts (Mar, Jun, Sep, Dec) listed for 3 consecutive quarters
Settlement Method Financially Settled
Termination Of Trading Trading terminates 2 business day before the Maturity Date, defined as 2 business days after final Accrual Period, which is the Effective Date + contract tenor years, aligned with Cash Flow Alignment Date (CAFD) and subject to Modified Following Business Day Convention (ie, if that is not a USGS business day, then 1st business day after that. If next valid business day is in following month, the preceding valid USGS business day will be the Maturity Date)
Settlement Procedures The Final Settlement Price on the Maturity Date of each contract shall be as follows:
Sfinal = 100 + Bfinal − Cfinal
Sfinal = Settlement price at Maturity Date
Bfinal = Historical Fixed and Floating Rate amounts since contract inception through maturity (Calculated in accordance with the Day Count Convention)
Cfinal = Eris Price Alignment Amount (or Eris PAA), at Maturity Date

The Exchange and CME Clearing calculate Final Settlement Price to 4 decimals of precision (e.g., 100.1234).
Position Limits CBOT Position Limits
Exchange Rulebook CBOT 62
Block Minimum Block Minimum Thresholds
Price Limit Or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing