October 13, 2014

Swap Futures | A Comparison of Products

Since CME and Eris Exchange launched their swap-futures contracts in late 2012, the number of exchanges offering (or planning-to-offer) their own variations of the swap-future has grown.

Given the number of offerings (and potential offerings) available to investors, I've created a set of tables comparing and contrasting the products on offer.

I will keep the tables updated as more information on the proposed swap-futures contracts becomes available. 

In addition, if you'd like to see additional information in the tables, please make your request by commenting on the post.

UPDATE: 26th April 2015. I've made quite a few updates here:

  • Added the Launch Dates for MX Swap Futures
  • Removed the "Subject to Final Agreement" from the GMEX CMF clearing location (which has been confirmed as Eurex Clearing)
  • Added new row for the JSE JIBAR IRS Futures
  • Added two new rows for the Eris Standard EUR and GBP Swap Futures, set to launch on ICE Futures Europe
  • I have replaced the PDF attachment with an Excel attachment. It contains the same information, but is far easier to read and reference.

UPDATE: 5th November 2014. 

  • Information in Table 4, relating to the portfolio-margining of CME-cleared IR swaps with DSFs, has been updated
  • The tables are now downloadable as a single PDF file (attached)

UPDATE: 28th October 2014. The following fields have been added to the table set:

  • Cross margining opportunities between swap-futures contract and cleared OTC IR Swaps (not to be confused with portfolio margining)
  • Native CCP default fund for swap-futures contract (also known as guarantee/guaranty fund and liquidation fund)
  • Products available for cross margining with swap-futures contract

UPDATE: 29th October 2014. The following information has been added to Table 4 for the GMEX CMF contracts:

  • Cross Margining
  • CCP Default Fund
  • Products available for cross margining

Clarification on "Cross Margining" and "Portfolio Margining":

"Cross Margining" between OTC swaps and futures in Europe is analagous to "Portfolio Margining" between OTC swaps and futures in the US. In turn, "Cross Margining" between different futures products in the US (e.g. Eurodollar futures and Treasury futures) doesn't have a formal term associated with it in Europe — one might simply refer to a "margin offset" or "margin benefit" between the different futures.


Table 1: Swap-Futures Clearing Location, Launch Date, Tenors Offered and Contract Delivery Dates




Table 2: Swap-Futures Underlying Swap Reference Fixing, Contract Notional Size, Initial Margin Calculation Methodology and Time Horizon (i.e. MPOR)




Table 3: Swap-Futures Contract Structure, Contract Pricing, Contract NPV Convention and Contract PAI Adjustment Treatment




Table 4: Swap-Futures Cross Margining Opportunities, Native CCP Default Fund and Products Available for Cross Margining


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