Bloomberg Indices Expands Futures-Based Index Offering

Why It Matters

The indices give market participants a standardized, liquid benchmark for SOFR swap exposure, accelerating the shift toward exchange‑listed, centrally cleared interest‑rate tools.

Key Takeaways

• Bloomberg adds 11 SOFR swap futures tracker indices.
• Indices cover one‑year to 30‑year tenors.
• First futures‑based SOFR swap benchmarks from Bloomberg.
• Open interest in Eris futures doubled in 2025.
• Enables margin‑efficient, centrally cleared exposure analysis.

Pulse Analysis

The transition from LIBOR to the Secured Overnight Financing Rate (SOFR) has left a gap in transparent, liquid benchmarks for swap exposure. Traditional OTC swap indices rely on dealer quotes and lack the real‑time price discovery that exchange‑listed instruments provide. Bloomberg’s new Eris SOFR Swap Futures Tracker Indices fill this void by delivering a rules‑based, rolling framework that mirrors the performance of front‑month Eris SOFR swap futures, offering market participants a clear, observable reference point for the evolving SOFR curve.

Each of the 11 indices is constructed to roll futures contracts on a predefined schedule, preserving exposure while minimizing transaction costs and collateral requirements. Because the underlying contracts are centrally cleared, users benefit from reduced counterparty risk and margin efficiency compared with bilateral OTC swaps. The suite’s tenors, ranging from one‑year to 30‑year, enable granular analysis of curve dynamics, relative‑value positioning, and spread relationships, supporting both passive benchmarking and active strategy development across the fixed‑income landscape.

For banks, asset managers, and structured‑product issuers, the launch signals a broader industry shift toward exchange‑listed derivatives as the primary vehicle for interest‑rate risk management. The indices can serve as the basis for performance attribution, risk reporting, and the creation of new structured products tied to SOFR futures. Bloomberg’s roadmap of additional benchmarks—targeting curve‑structure and credit‑spread dynamics—suggests a growing ecosystem of futures‑based indices that could reshape pricing standards and liquidity distribution in the post‑LIBOR fixed‑income market.