Eris Open Interest Ends October at 422,550, up 100% YTD
  • Less than 45 days after surpassing 300,000 open interest for the first time, CME Eris Swap Futures open interest surpassed 400,000 on October 15 and closed the month at a record 422,550
  • Front-month open interest has grown more than 400% YTD, ending October at a record level of 148,772 contracts
  • CME Eris Swap Futures traded an average of 11,398 contracts per day in October, surpassing by more than 25% the previous record volume mark for a non-roll month (9,035 in August 2019)
  • A substantial portion of this growth is driven by new and existing end user clients using Eris Swap Futures to hedge rate moves during October’s swap curve flattening and the looming prospects of Federal Reserve rate hikes
CME Releases Optimizer for Eris SOFR Portfolio Margining
  • CME is expanding its portfolio margining offering for IRS products to include Eris SOFR-based Swap Futures
  • Clearing Firms using the CME Optimizer software must upgrade to version 17 by November 15, 2021
  • Details are available in CME Advisory Notice 21-381
SOFR swaps top $50B in daily volume as firms prepare to cease new Libor use
  • SOFR Overnight Index Swaps (OIS) averaged daily notional turnover of $51.6 Billion in October, according Clarus Financial Technology data
  • With daily turnover having grown more than 400% since June (the last full month prior to the SOFR First initiative), SOFR accounted for more than 32% of USD Libor/SOFR DV01 traded in October
  • Five federal financial institution regulatory agencies issued a joint statement on October 20, clarifying “the meaning of no new Libor contracts” as it pertains to supervised institutions subject to previous Supervisory Guidance
Eris SOFR Resources

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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