Clients rolling to Eris SOFR March 7-10
  • With March 7-10 marking the first Eris quarterly roll following year-end regulatory guidance limiting Libor usage, market participants are poised to migrate to Eris SOFR as they roll from March to June contracts

  • In February, Eris SOFR average daily volume is up nearly 100% compared to Q4 (MTD through February 11)

  • With more than 109,000 contracts of open interest, Eris Libor March positions are expected to roll to Eris SOFR predominantly via block trading, which allows negotiation of two-legged spread trades without execution risk (pursuant to exchange rules)


SOFR Outright Swaps
Surpass Libor in Jan
  • In January, SOFR swaps accounted for 66% of Libor+SOFR outright swap DV01 reported to US swap data repositories, according to Clarus Financial Technology data

  • January is the first month SOFR’s market share has exceeded 50%, and it follows the regulatory guidance urging US banks to cease new uses of Libor by December 31
Eris Swap Futures Set Open Interest & Volume Records in January
  • Multiple tenors of Eris Swap Futures set open interest records in January, including 2-years, which entered February with OI of more than 129,000 contracts

  • CME Eris Swap Futures traded 12,199 contracts per day in January, growing 168% year-on-year and setting a record for non-roll month average daily volume
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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