Available For Trading on CME Globex
Meeting the market's need for SOFR swap liquidity with CME Group Futures
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
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
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
Traders’ Forum
Learn more about applications for Eris Swap Futures, get expert answers to your questions, or join the conversation with other market participants.
