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

Ratio Side Start Period End Period Maintenance
CBT INTEREST RATES 3-YEAR ERIS SOFR SWAP FUTURES YIC 1

1
B

A
12/2020

12/2020
12/2021

12/2021
50 USD