Purpose-built hedge accounting for exchange-traded swap futures.
Eris SOFR Swap Futures (“Swap Futures”) are exchange-traded futures contracts listed on CME Group that replicate the cash flow and economic performance of traditional over-the-counter (“OTC”) interest rate swaps. Because they are standardized futures — not bilateral OTC instruments — they require no ISDA agreements, offer lower margin requirements, and provide the operational simplicity and protection of a centrally cleared product. Importantly, swap futures can be held to their underlying maturity rather than rolled quarterly, making them eligible for hedge accounting treatment under FASB ASC 815.
ALM First has developed a scalable, auditor-ready reporting engine purpose-built to support hedge accounting for Swap Futures. Our automated solution ensures general ledger activity accurately reflects all derivative valuations, settlements, and hedge effectiveness results. Our team has deep expertise in both cash flow and fair value hedge designations, and we manage the specialized accounting treatment required to properly separate income and price return components. From onboarding and education through ongoing reporting, the result is a streamlined, transparent process.
Why Eris over OTC?
- No ISDA master agreement required
- – Significantly lower margin requirements versus typical bilateral agreements
- Exchange-traded simplicity — centrally cleared
- Hold-to-maturity eligibility for ASC 815 hedge accounting
- Purpose-built ALM First platform for full lifecycle support
What Our Process Delivers
- Automated GL entries for valuations, settlements, and hedge effectiveness
- Scalable infrastructure from a single hedge to a full portfolio
- Auditor-ready documentation and reporting packages
- End-to-end support from designation through effectiveness testing and financial reporting
- Seamless integration into your existing accounting framework
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