5 Year Deliverable Swap Futures

What are 5 Year Deliverable Swap Futures?

Deliverable Swap Futures (DSF’s) contracts are aimed at providing a liquid means of managing rate exposure. This is done by offering the chance to trade actual interest rate swaps on a forward basis as a standard futures contract. Contrary to previous cash-settled interest rate swap futures, Deliverable Swap Futures contracts provide for delivery of ‘plain vanilla’ interest rate swaps cleared by the CME Clearing House.

Uses of 5 Year Deliverable Swap Futures

Other benefits of trading Deliverable Swap Futures (DSFs) include:

  • Lower margin levels of standardised products
  • Automatic risk offset against Treasury and Eurodollar products
  • Avoid additional funding costs often charged on initial margin for cleared IRS

Risks of 5 Year Deliverable Swap Futures

Deliverable Swap Futures (DSF) contracts are aimed at providing a liquid means of managing rate exposure. As such they are more of a risk management tool.

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