#USA #New York #Bloomberg Indices #Eris SOFR Swap Futures #Futures Tracker

Bloomberg Expands Index Offerings with New Eris SOFR Swap Futures Tracker Indices

In an important development in the financial sector, Bloomberg has announced the launch of the Bloomberg Eris SOFR Swap Futures Tracker Indices. This initiative includes the introduction of 11 new indices specifically designed to monitor the performance of holding and rolling Eris SOFR Swap futures along the U.S. dollar interest rate curve. This launch signifies a significant milestone as it is the first time an index provider has introduced futures-based indices utilizing the CME Group’s Eris interest-rate swap futures.

The newly introduced indices serve as transparent, rules-based benchmarks, enabling users to efficiently track SOFR swap exposure through exchange-listed futures. This is particularly noteworthy as it opens up avenues for traders and investors to benchmark their strategies within an evolving financial landscape.

According to Fateen Sharaby, who heads the Index Derivatives at Bloomberg Index Services Limited, “With Eris SOFR Swap Futures open interest more than doubling in 2025, market participants are increasingly favoring exchange-listed tools for managing interest rate risk. The Bloomberg Eris SOFR Swap Futures Tracker Indices provide clients with a standardized method to benchmark, analyze, and express opinions across the changing SOFR swap curve.”

This development is seen as a significant enhancement to Bloomberg's offerings in the realm of fixed income futures-based indices. Future launches are also planned, with a focus on capturing crucial curve structures, relative-value relationships, and spread dynamics across diverse interest rate and credit markets.

The Bloomberg Eris SOFR Swap Futures Tracker Indices will operate as rolling tracker indices meant to reflect the performance associated with maintaining exposure to the front Eris SOFR Swap futures contract, based on a transparent and predefined rolling schedule. The new suite extends across 11 maturities, ranging from 1-year to 30-year, and is calculated in U.S. dollars, backed by more than five years of historical data. The switch to referencing futures rather than OTC swaps means that users will benefit from centrally cleared exposure that is margin efficient and relies on publicly observable prices.

This approach can greatly assist users in evaluating the dynamics of the SOFR curve within a consistent index framework. Michael Riddle, CEO of Eris Innovations, expressed his perspective on this development, stating, “The introduction of the Bloomberg Eris SOFR Swap Futures Tracker Indices ushers in a powerful new viewpoint for assessing SOFR swap exposure through clear, exchange-listed futures.” He articulated the various applications for financial institutions, including examining SOFR-linked strategies, conducting curve analysis, and bolstering relative value monitoring.

Bloomberg’s launch of these new indices significantly enhances its existing collection of interest rate benchmarks. Prior offerings have included futures-based indices on fixed income, multi-asset portfolios, and even currency and commodity markets, thereby solidifying Bloomberg’s stature as a leader in index solutions.

For those wishing to access the new indices, they are available through the Bloomberg Terminal at {IN }, with comprehensive research and methodology documents on the Bloomberg Indices Documentation page.

About Bloomberg Index Services Limited

Bloomberg's index division is renowned for producing industry-leading and tailored indices across various asset classes, including fixed income, commodities, and equities. The team emphasizes an innovative approach to delivering strategic benchmarks that address the changing needs of market participants. Their indices are seamlessly integrated with other Bloomberg solutions, drawing from an extensive array of trusted data, reliable technology to ensure accurate calculations, and analytics to enhance workflow automation.

About Bloomberg

Bloomberg stands as a pivotal force in global business and financial intelligence, providing trusted data, news, and insights designed to enhance market transparency, efficiency, and fairness. The company fosters connections within the international financial ecosystem through reliable technological solutions, enabling informed decision-making and collaboration among its client base. For further information, visit Bloomberg.com/company or request a demo.