Record Eris Open Interest Tops 330,000, up 31% in Q3
  • CME Eris Swap Futures achieved record open interest of 331,445 on Oct 5, continuing the upward trend from the record-setting 31% growth in Q3
  • During Q3, open interest grew by more than 77,000 contracts, from 251,833 to 328,957
  • Notably, OI in the Eris Libor 5-year tenor grew 98% to 81,495 contracts, driven by interest rate hedging from end users
  • Total OI increased 77% in the past year, including multiple OI records set in Q3 for Eris SOFR and legacy Eris Libor Swap Futures
  • By year end, CME is expected to announce its protocol for converting legacy Eris Libor positions to Eris SOFR Swap Futures positions upon the cessation of 3-month USD Libor in June 2023
Eris SOFR Portfolio Margining Attracts New Swap Dealers
  • Multiple swap dealers are onboarding to trade Eris SOFR by year end alongside CME’s planned implementation of Portfolio Margining between Eris SOFR and CME interest rate swaps, which will dramatically reduce the capital requirements of holding swap hedges (pending OTC IRS Risk Committee approval)
  • On-screen liquidity has increased notably in early October, with nine dedicated market makers posting two-sided markets in excess of $300,000 DV01 for the 1-10 year tenors
  • These increases in liquidity are well-timed, as the more than 300,000 contracts of Eris Libor open interest are expected to commence migrating to Eris SOFR in December and Q1
  • Eris SOFR participation continued to increase in Q3, and they now account for 10% of 1-3 year swaps/swap futures volume YTD, according to Clarus Financial Technology data
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Eris Innovations is an intellectual property licensing company that partners with CME Group, ICE and other global exchanges to develop futures based on its patented product design, the Eris Methodology

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