Bloomberg Launches 11 SOFR Swap Futures Indices

Bloomberg today shared the Bloomberg Eris SOFR Swap Futures Tracker Indices, introducing 11 new indices designed to track the performance of holding and rolling Eris SOFR Swap futures across the US dollar interest rate curve. This launch provides market participants with transparent, rules-based benchmarks to monitor SOFR swap exposure through exchange-listed futures. Significantly, it marks Bloomberg’s first suite of futures tracker indices referencing SOFR swap exposure delivered through a futures contract and represents the first time any index provider has brought futures tracker indices to market using Eris interest rate swap futures.

“With Eris SOFR Swap Futures open interest more than doubling in 2025, market participants are further embracing exchange-listed tools for interest rate exposure, and the Bloomberg Eris SOFR Swap Futures Tracker Indices offer clients a standardized way to benchmark, analyze, and express views across the evolving SOFR swap curve,” said Fateen Sharaby, Head of Index Derivatives at Bloomberg Index Services Limited. “This launch represents an evolution in Bloomberg’s fixed income futures-based index offering, with forthcoming benchmark launches planned to capture curve structure, relative-value relationships, and spread dynamics across interest rate and credit markets.”

Bloomberg Launches 11 SOFR Swap Futures Indices

The indices actively track the performance of maintaining exposure to the front Eris SOFR Swap futures contract, rolling it on a transparent and predefined schedule. The suite spans 11 tenors, from 1-year through 30-year maturities, and calculates performance in US dollars using more than five years of historical data. By referencing futures rather than over-the-counter swaps, the indices provide exposure that is centrally cleared, margin-efficient, and based on publicly observable pricing. This structure helps users evaluate SOFR curve dynamics within a consistent index framework.

“Bloomberg Indices’ decision to launch indices on Eris SOFR Swap Futures creates a powerful new lens for observing SOFR swap exposure through transparent, exchange-listed futures,” said Michael Riddle, CEO of Eris Innovations. “Financial institutions can use Bloomberg Eris SOFR Swap Futures Tracker Indices for a wide range of use cases, including benchmarking SOFR-linked strategies, performing curve analysis and relative value monitoring, and creating structured products.”

The launch expands Bloomberg Indices’ existing interest rate benchmarks, which include futures-based indices across fixed income, multi-asset, currency, and commodity markets. Clients can now access the new indices directly on the Bloomberg Terminal at {IN <GO>}, allowing for immediate integration into trading, research, and portfolio management workflows. This development reflects Bloomberg’s continued commitment to delivering innovative, transparent, and practical tools for the evolving interest rate markets.

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