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.

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3-YEAR ERIS SOFR SWAP - MARGINS

Exchange Asset Class Spread Products Type Ratio Side Start Period End Period Credit
CBT INTEREST RATES YIC - 3-YEAR ERIS SOFR SWAP FUTURES Delta 5 A All dates 75%
YIW - 5-YEAR ERIS SOFR SWAP FUTURES 3 B All dates
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 75%
YIC - 3-YEAR ERIS SOFR SWAP FUTURES 1 A All dates
CME INTEREST RATES SR3 - THREE-MONTH SOFR FUTURES Delta 6 B 03/2024 12/2024 75%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 6 B 06/2024 03/2025 75%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 6 B 08/2021 03/2022 75%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES SR3 - THREE-MONTH SOFR FUTURES Delta 6 B 03/2022 12/2022 75%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES SR3 - THREE-MONTH SOFR FUTURES Delta 6 B 03/2022 12/2022 75%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES SR3 - THREE-MONTH SOFR FUTURES Delta 6 B 09/2021 12/2021 75%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES SR3 - THREE-MONTH SOFR FUTURES Delta 6 B 09/2021 12/2021 75%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES SR3 - THREE-MONTH SOFR FUTURES Delta 6 B 06/2021 06/2021 75%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES SR3 - THREE-MONTH SOFR FUTURES Delta 6 B 03/2021 03/2021 75%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CBT INTEREST RATES YIA - 1-YEAR ERIS SOFR SWAP FUTURES Delta 3 A All dates 75%
YIC - 3-YEAR ERIS SOFR SWAP FUTURES 1 B All dates
CBT INTEREST RATES YIB - 7-YEAR ERIS SOFR SWAP FUTURES Delta 3 B All dates 70%
YIC - 3-YEAR ERIS SOFR SWAP FUTURES 7 A All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 6 B 06/2025 03/2026 70%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES SR3 - THREE-MONTH SOFR FUTURES Delta 6 B 03/2025 09/2030 70%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 3 B All dates 70%
YIC - 3-YEAR ERIS SOFR SWAP FUTURES 4 A All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 6 B 05/2021 07/2021 70%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 65%
YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 6 B 06/2026 03/2027 65%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 6 B 06/2027 03/2028 65%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 60%
YIC - 3-YEAR ERIS SOFR SWAP FUTURES 3 A All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 6 B 06/2029 03/2030 55%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 6 B 06/2030 03/2031 55%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 6 B 06/2028 03/2029 55%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CBT INTEREST RATES TN - ULTRA 10-YEAR U S TREASURY NOTE FUT Delta 1 B All dates 50%
YIC - 3-YEAR ERIS SOFR SWAP FUTURES 4 A All dates
CBT INTEREST RATES YIC - 3-YEAR ERIS SOFR SWAP FUTURES Delta 4 A All dates 50%
YIY - 10-YEAR ERIS SOFR SWAP FUTURES 1 B All dates
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 B 06/2021 06/2021 40%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 4 A All dates
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 B 08/2021 04/2022 40%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 4 A All dates
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 B 08/2021 04/2022 40%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 4 A All dates
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 B 07/2021 07/2021 40%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 4 A All dates
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 B 05/2021 05/2021 40%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 4 A All dates
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 B 04/2021 04/2021 40%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 4 A All dates
CBT INTEREST RATES LIC - 3-YEAR ERIS SWAP FUTURES Delta 1 B 12/2021 12/2021 85%
YIC - 3-YEAR ERIS SOFR SWAP FUTURES 1 A All dates
CBT INTEREST RATES YIC - 3-YEAR ERIS SOFR SWAP FUTURES Delta 4 A All dates 80%
YID - 4-YEAR ERIS SOFR SWAP FUTURES 3 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 6 B 06/2023 03/2024 80%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES SR3 - THREE-MONTH SOFR FUTURES Delta 6 B 03/2023 12/2023 80%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 6 B 06/2022 03/2023 80%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CBT INTEREST RATES YIC - 3-YEAR ERIS SOFR SWAP FUTURES Delta 2 B All dates 80%
YIT - 2-YEAR ERIS SOFR SWAP FUTURES 3 A All dates