Eris SOFR Margin Savings compared to Cleared Swaps
As futures listed at CME Group, Eris SOFR features Initial Margin (IM) requirements up to 65% less than cleared interest rate swaps. This table summarizes current margin benefits, sourced from CME Clearing via CME Core.
Outright margins for Eris SOFR contracts are available in the Eris Contract Lookup page.
CME Clearing collects less margin for Eris SOFR than equivalent IRS, despite their equivalent cash flows, due to regulatory and default management differences between futures and swaps. Initial Margin covers the potential loss on a defaulted position prior to liquidation. Since futures positions from a default are generally liquidated in one day, compared with up to five days required for swap default auctions, less IM is required.
Have a more specific question about margin for Eris SOFR or swaps? Email questions@erisfutures.com.
| Initial Margin for $100 million position (1,000 futures contracts) | ||||||||
|---|---|---|---|---|---|---|---|---|
|
|
|
|
End Date |
|
|
(Receive Fixed) |
(Pay Fixed) |
|
| 1-year | YIAZ24 | 2024-12-18 | 2025-12-18 | 4.00 | $325,000 | $829,963 |
$713,380 |
54-61% |
| 2-year | YITZ24 | 2024-12-18 | 2026-12-18 | 3.75 | $625,000 | $1,535,423 | $1,534,954 | 59% |
| 3-year | YICZ24 | 2024-12-18 | 2027-12-18 | 3.75 | $825,000 |
$1,954,453 |
$2,194,855 | 58-62% |
| 4-year | YIDZ24 | 2024-12-18 | 2028-12-18 | 3.75 | $1,050,000 | $2,314,300 | $2,701,228 | 55-61% |
| 5-year | YIWZ24 | 2024-12-18 | 2029-12-18 |
3.75 |
$1,200,000 | $2,692,104 | $3,173,266 | 55-62% |
| 7-year | YIBZ24 | 2024-12-18 |
2031-12-18 |
3.75 | $1,450,000 | $3,331,508 | $4,061,551 | 56-64% |
| 10-year | YIYZ24 | 2024-12-18 | 2034-12-18 | 3.75 | $1,800,000 | $4,610,187 | $4,996,964 | 61-64% |
| 30-year | YIEZ24 | 2024-12-18 | 2054-12-18 | 3.50 | $3,400,000 | $9,610,486 | $8,453,578 | 60-65% |
Last updated November 20, 2024
*Eris data refers to Swap Start Date as “Effective Date” and Unadjusted Swap End Date as “Cash Flow Alignment Date.”
Disclaimer: CME Clearing establishes margin levels for Eris SOFR Swap Futures and cleared interest rate swaps, and they are subject to change without notice. CME Clearing offers the CME Core interactive margin calculator.
