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.
3-YEAR ERIS SOFR SWAP - MARGINS
| Start Period | End Period | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| CBT | INTEREST RATES | 3-YEAR ERIS SOFR SWAP FUTURES | YIC | 12/2020 | 12/2020 | 335 USD | 40.000% | ||
| CBT | INTEREST RATES | 3-YEAR ERIS SOFR SWAP FUTURES | YIC | 03/2021 | 09/2021 | 360 USD | 40.000% | ||
© 2021 CME Group Inc. All rights reserved.