SOFR First propels SOFR to 20%
market share
  • Driven by the SOFR First initiative recommended by the CFTC’s Market Risk Advisory Committee, last week SOFR swaps exceeded 20% of the DV01 traded among SOFR and USD Libor swaps, according to Clarus Financial Technology data
  • By comparison, SOFR swaps accounted for just 3% of DV01 traded for the previous 60-day period leading up to July 25
  • The jump in market share shows increased momentum toward meeting regulators’ goal of transitioning away from Libor by year-end
  • “All firms should be moving quickly to meet our supervisory guidance advising them to end the new use of Libor this year,” said Federal Reserve Board Vice Chair Randal K. Quarles in a July 29 press release announcing ARRC’s formal recommendation of Term SOFR
Eris SOFR grabs 14% of
1-3y SOFR Swaps in July
  • Eris SOFR accounted for 14% of notional volume traded among 1-3y SOFR swaps and swap futures in July, according to data from Clarus Financial Technology
  • With overall Average Daily Volume (ADV) of 3,618 for the month, Eris SOFR continues to demonstrate its utility as a source of SOFR swap liquidity
CME Eris Swap Futures
Hit Record Open Interest 
  • On July 28, CME Eris Swap Futures established a new record for open interest of 288,444, culminating growth of more than 50% in the past 12 months
  • The growth has been driven by front-month open interest in legacy Eris Swap Futures indexed to ICE Libor, which now exceeds 100,000 contracts
  • Many holders of legacy Eris Swap Futures open interest are expected to roll positions into Eris SOFR by year-end, as liquidity migrates alongside the broader swap market
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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