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Eris SOFR Swap Futures

CME futures meeting the market’s need for SOFR swap liquidity

View Live Markets on CME Globex
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Delivers much-needed SOFR swap liquidity

With regulators calling for US banks to stop new uses of USD Libor in 2021, SOFR swap trading is poised to grow more than 20X in the coming months. Eris SOFR helps meet this unprecedented demand by providing easily-accessible SOFR swap liquidity, powered by market makers streaming two-sided prices in a central limit order book and dealers offering block trades.

View Live Eris SOFR Markets
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Replicates swaps for proper hedging

Eris SOFR Swap Futures replicate the cash flows of vanilla OTC SOFR overnight index swaps, including annual fixed payments at a pre-determined rate, and annual floating payments based on daily compounded SOFR. Unlike traditional futures, end users can hold Eris SOFR contracts until final maturity (up to 30 years), both avoiding forced rolls and enabling hedge accounting applications previously reserved for swaps.

View Eris SOFR Primer & Contract Specifications
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Provides dealers simple layoffs for SOFR swaps

Dealer banks have long used interest rate futures to trade bulk duration cost-effectively.  Eris SOFR Swap Futures continue this tradition, allowing dealers to trade spot-dated, outright SOFR swaps with their customers, then hedge that risk using IMM-dated Eris SOFR Swap Futures, accessing liquidity from listed market makers streaming two-sided prices in a central limit orderbook.

View Third-Party Paper on Eris SOFR
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Brings transparency to the SOFR swap market

With the SOFR swap market still in its early stages, traders must rely on theoretical swap curves built from wide, indicative quotes for basis swaps. Eris SOFR Swap Futures not only provide swap users direct visibility to trade executable prices in a central limit order book, but also enable generation of real-time SOFR swap pricing data Eris Innovations distributes publicly.

View Eris SOFR Curve Data
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Requires half the capital of swaps

Market volatility in March 2020 dramatically highlighted the importance of efficient margin treatment when capital becomes scarce. Eris SOFR Swap Futures offer the margin efficiencies of CME Group listed futures, including outright levels up to 60% lower than comparable cleared interest rate swaps, and margin offsets with CME SOFR Futures, Eurodollars and Treasury Futures.

View Eris Margin Comparison Data
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Concentrates liquidity as swap risk standardizes

The market's move from quarterly LIBOR swaps to SOFR overnight index swaps significantly reduces hedgers' need for date customization. This fundamental change in swap risk provides a compelling opportunity for end users to adopt standardized products like Eris SOFR Swap Futures, which pool liquidity at quarterly IMM dates and auto-collapse offsetting positions rather than requiring extra steps for compression.

View Third-Party SOFR White Paper
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Available for trading now

Call your FCM or trade support team to get started.  For risk & modeling purposes, Eris and CME distribute a suite of data files including discount factors, Eris SOFR settlement prices, and individual fixed and floating payment details (including accrual dates and SOFR compounding). Contact info@erisfutures.com for a guided tour.

View Daily Eris SOFR Price Data
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Accessible globally on CME Globex

Eris SOFR Swap Futures offer the ease-of-access and operational simplicity of CME futures, enabling traders to view market data and place orders immediately using existing tools, including Bloomberg. CBOT exchange members trade at discounted rates, and all participants enjoy the benefits of CME Clearing trade processing features, including automated give-ups and average pricing.

View Eris SOFR Swap Futures on CME

Contact Us

1-646-961-4480
info@erisfutures.com
Chicago

27 N Wacker Drive, Suite 422

Chicago, IL 60606

           

             

 

 

 

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