Eris SOFR hits record volume & open interest in March

Eris SOFR hits new records following launch of Portfolio Margining

Eris SOFR Swap Futures set records in March with average daily volume of 8,999 contracts and open interest of 101K (March 14)
Growth was driven by the recent launch of swaps/futures portfolio margining (PM) and the migration from Libor to SOFR
Following the quarterly roll, 100% of front-month activity now occurs in Eris SOFR rather than Eris Libor
10 year Eris SOFR growth was particularly strong, with open interest now 20,240, and more than 10 clients using it for the first time
2y and 5y Eris SOFR also saw strong growth, with 2y open interest now 31,988, and 5y OI now 20,499

Block trades drive Eris SOFR growth

During March, more than 260,000 contracts ($26B notional) Eris Swap Futures traded bilaterally as blocks
Calendar spreads from March to June dominated roll week, with outrights in 2y, 5y and 10y driving volume thereafter, as end users reset hedges following notable rate movements
A list of swap dealers and other markets makers ready for Eris block trades is available here

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Eris Essentials

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. CME Group lists Eris SOFR, Eris Libor and Eris BSBY Swap Futures for trading on the CBOT exchange.

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Disclaimer: The information contained herein does not constitute a prospectus, nor is it a recommendation to buy, sell or retain any specific financial instrument or security. The information has been provided to you for informational purposes only and is intended as a broad overview of certain aspects Eris swap futures products, and should not be considered as investment advice, legal advice, or tax advice. Although all effort has been made to provide accurate information Eris Innovations assumes no responsibility for any errors or omissions. Trademarks of Eris Innovations and/or its affiliates include Eris, Eris Innovations, Eris PAI, Eris Methodology, Eris Pricing Engine and the Eris Logo. All other trademarks, service marks, trade names, product names and logos are the property of their respective owners. Certain elements of the contract design and pricing construct are covered by U.S. Patent No. 9,747,641. Other patents-pending. All Rights Reserved.