Skip to main content
Home

Main navigation

  • Eris at CME Group
    • Eris SOFR
    • Eris Data
    • SOFR Contract Specs
    • SOFR Data Glossary
    • Eris BSBY
    • Eris Data
    • Live Quotes
    • Products
    • Methodology
    • Market Data
  • Eris at ICE
    • Products
    • Methodology
    • Traders' Forum
    • Contact
  • About Eris
cmedark
bsbysofrmobile
450
/bsby

Live Quotes - USD Swap Futures

Eris Products on CME

Futures contracts that replicate the cash flows and functionality of over-the-counter swaps, suitable for short-term trading or long-term hedging.

  • Standardized terms1, with underlying tenors 1-30 years2 
  • No physical delivery: contracts remain outstanding to underlying tenor maturity
  • Futures price format indexed to 100
    • CME's Eris BSBY Primer
    • CME's Eris SOFR Primer
    • CME's Eris LIBOR Primer

 

cmeproductswithbsby

1. Terms match SIFMA MAC swaps
2. Including aged, off-the-run contracts, there will be expiries every quarter from 3 months to 30 years

icon
BSBY Contract Specs
SOFR Contract Specs
LIBOR Contract Specs
icon
Tools and Market Data
icon
Contract Lookup
Block Market Marker List

 

CME Conversion of Eris Libor to Eris SOFR Positions

 

On 30th June, 2023, the ICE 3-month U.S. dollar Libor benchmark index will cease to be published and all subsequent resets of the index after this date will "fallback" to be determined as SOFR plus 26.161 basis points. To facilitate the smooth transition of remaining legacy Eris Libor positions, market participants have requested CME to consider converting the remaining Eris Libor positions at that time to Eris SOFR positions. Following bilateral conversations with market participants, CME has published guidelines for this conversion.

 

 


The Eris Methodology

 

The patented Eris Methodology allows for the creation of a listed futures contract that replicates the cash flows, convexity and functionality of traditional over-the-counter swaps.

As listed contracts, Eris Swap Futures are available to a wider user base as transparent financial instruments for easy trading and long term hedging purposes.

Eris Futures Price = 100 + A + B - C

Discover more
 
diagram
 

 

Traders’ Forum

Learn more about applications for Eris Swap Futures, get expert answers to your questions, or join the conversation with other market participants.

icon
Visit the full Forum

Contact us with immediate questions:

1-646-961-4489
questions@erisfutures.com (responses within 60 minutes during U.S. business hours)
Chicago

625 W. Adams, Suite 19-105

Chicago, IL 60661

           

             

 

 

 

1

Eris Futures
About Eris
Disclaimer
Careers
 

 ©Eris 2022. All rights reserved