Bloomberg has launched 11 benchmarks for Eris SOFR Swap futures.
The Eris SOFR Swap Futures Tracker Indices measure SOFR swap exposure through exchange-listed holding and rolling swap futures across the US dollar interest rate curve.
Bloomberg states that open interest for Eris SOFR swap futures more than doubled in 2025. According to Eris, open interest across the instruments is currently 572,168 – up 145% year-on-year.
As rules-based, rolling tracker indices, the new suite is designed to reflect the performance of exposure to the forward Eris SOFR Swap futures contract. The 11 benchmarks are calculated on over five years of historical performance, and cover maturities from one to 30 years.
Referencing futures rather than over-the-counter swaps for the indices is a reflection of centrally-cleared exposure based on publicly observable pricing, the firm says, and will allow for SOFR curve dynamic evaluation within a consistent framework.
Fateen Sharaby, head of index derivatives at Bloomberg Index Services Limited, commented, “[These] offer clients a standardised way to benchmark, analyse and express views across the evolving SOFR swap curve.”
Sharaby also shared that similar products will be launched in the future: “Forthcoming benchmark launches [are] planned to capture curve structure, relative-value relationships, and spread dynamics across interest rate and credit markets.”
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