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Live Quotes - USD Swap Futures

 

 

Perfect for Hedgers: Easy, low cost, transparent


Hedgers use Eris SOFR as an alternative to interest rate swaps. As futures contracts listed by CME Group, Eris SOFR offers market participants the economic performance of an interest rate swap and the advantages of using US future.
  Commercial Loans Mortgage Pipeline Mortgage Servicing Rights Bank & Credit Union
Asset/Liability Management

REIT's, Insurance &
Fixed Income Portfolios

Issue/Risk Borrowers and lenders
with commercial loans
tied to SOFR may lose
money as rates move
Rate risk after mortgage
commitment and prior
to securitization
Market value changes
due to rate movement
cause income statement
volatility
Variable rate funding
may reprice, causing
losses from mismatched
duration
Rate movements cause
unrealized losses for
bonds and other assets
Solution Hedge against rate
movements using Eris
SOFR, IRS, other futures
Hedge risks using Eris
SOFR, IRS, TBA MBS,
Treasury Futures
Hedge risks using Eris
SOFR, IRS, TBA MBS,
Treasury Futures
Extend funding duration using Eris
SOFR or IRS
Manage portfolio
duration using Eris SOFR,
IRS, Treasury Futures,
interest rate caps
CME Group Article

Eris SOFR for
Private Lenders
 

Eris SOFR for MSR

Eris SOFR for ALM

Eris SOFR for REIT's
Advantages of using
Eris SOFR
  • Easy futures account setup (no ISDA or costly swap clearing agreement)
  • Efficient capital use (up to 65% margin savings vs. cleared IRS)
  • Track SOFR risk (most forecasting models use SOFR, not Treasuries)
  • Transparent prices for trading and daily settlement (exchange, not bilateral)
  • Returns SOFR-based interest on Variation Margin (VM), decreasing funding costs compared to other futures
  • Eligible for FASB hedge accounting

Eris SOFR Overview


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

  • No physical delivery: contracts remain outstanding to underlying tenor maturity
  • Initial Margin up to 65% lower than cleared interest rate swaps
  • Trade in order book or bilateral block trades, in denominations as small as $100,000 notional (1 contract)

 

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Contract Specs
CME Eris SOFR Primer
Contract Dates, Coupons, DV01, PV01
Vendor Codes
Margin
Market Maker Contact List

 

 

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

 

 

 

About Eris Innovations

 

Eris Innovations is an intellectual property licensing company that partners with CME Group and other global exchanges to develop futures and options products based on its patented product design, the Eris Methodology

 

Learn more about Eris

 

 

 

 

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

 

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