Swap Futures

5-Year Eris SOFR Swap

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5-Year Eris SOFR Swap Futures - Calendar

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Contract MonthProduct CodeFirst TradeLast TradeSettlementFirst HoldingLast HoldingFirst PositionLast PositionFirst NoticeLast NoticeFirst DeliveryLast Delivery
Contract MonthProduct CodeFirst TradeLast TradeSettlementFirst HoldingLast HoldingFirst PositionLast PositionFirst NoticeLast NoticeFirst DeliveryLast Delivery
Jun 2020YIWM20 19 Sep 2022 17 Jun 2025 20 Jun 2025 - - - - - - - -
Sep 2020YIWU20 19 Sep 2022 16 Sep 2025 18 Sep 2025 - - - - - - - -
Dec 2020YIWZ20 05 Oct 2020 16 Dec 2025 18 Dec 2025 - - - - - - - -
Mar 2021YIWH21 05 Oct 2020 17 Mar 2026 19 Mar 2026 - - - - - - - -
Jun 2021YIWM21 05 Oct 2020 16 Jun 2026 18 Jun 2026 - - - - - - - -
Sep 2021YIWU21 15 Dec 2020 15 Sep 2026 17 Sep 2026 - - - - - - - -
Dec 2021YIWZ21 16 Mar 2021 15 Dec 2026 17 Dec 2026 - - - - - - - -
Mar 2022YIWH22 15 Jun 2021 16 Mar 2027 18 Mar 2027 - - - - - - - -
Jun 2022YIWM22 14 Sep 2021 15 Jun 2027 17 Jun 2027 - - - - - - - -
Sep 2022YIWU22 14 Dec 2021 21 Sep 2027 23 Sep 2027 - - - - - - - -
Dec 2022YIWZ22 15 Mar 2022 21 Dec 2027 23 Dec 2027 - - - - - - - -
Mar 2023YIWH23 14 Jun 2022 15 Mar 2028 17 Mar 2028 - - - - - - - -

About this Report

FedWatch

Explore probabilities for FOMC rate moves, compare target ranges or view historical rate data.

Treasury Analytics

Analyze deliverable baskets, CTD/OTR securities, futures/cash yield curves, inter-commodity spreads, and more.

TreasuryWatch

Gain an in-depth view into the US Treasury market, including yields, volatility, auctions, coupon issuance projections, and more.

STIR Analytics

View historical fixings for EFFR and SOFR, and analyze basis spreads between Eurodollar, Fed Fund, and SOFR futures.

Total Cost Analysis

Analyze the all-in costs of managing interest rate exposure using listed futures versus over-the-counter (OTC) instruments like swaps.

SOFRWatch

Visualize the potential impacts of FOMC decisions on SOFR expectations.

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