Eris Sets New Daily Volume Record of 108,758 Contracts

Eris Swap Futures set a new daily record of 108,758 contracts traded on Tuesday, December 7 Coming just ahead of the year-end deadlines for Libor usage, the record surpasses the previous record of 105,925 set June 8  As of December 14, total Eris open interest stands at 409,805, an increase of 94% year-to-date

CME Swaps/Futures Portfolio Margining to Reduce Margin up to 90%

Participants can now use CME CORE (New Release) to model savings from Portfolio Margining (PM) of Eris SOFR Swap Futures and CME cleared swaps  Targeted for launch in Q1 2022, PM will reduce initial margin up to 90%

CME Plans to Convert Eris Libor to SOFR

On December 13, CME released its Conversion Proposal for Eris Libor Products on its website, cmegroup.com/swapfutures The proposal calls for CME to convert remaining Eris Libor positions to Eris SOFR contracts in June 2023  As Eris SOFR Swap Futures are indexed to the benchmark Secured Overnight Financing Rate and will be backed by CME Portfolio Margining, the plan provides Eris Libor position holders increased assurance of a smooth transition during the upcoming Libor cessation

Eris recently published the Eris SOFR Block Trade Market Maker Directory, including ten firms that accept customer requests for block trades Eris SOFR block trades are permitted for trades of at least 100 contracts ($10 mm notional), in accordance with CBOT exchange rules  Feedback from customers and brokers suggests a substantial portion of the Q1 migration from Eris Libor to Eris SOFR will occur using block trades

Eris SOFR Resources

Eris SOFR product details Live Eris markets Contract specifications CME Eris SOFR primer The Eris Methodology Contract Lookup: swap dates, coupons, price components

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 info@erisfutures.com | www.erisfutures.com | 646-961-4489

STAY CONNECTED ‌ ‌ 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.