New CME Eris/Treasury Spreads bring immediate impact

Eris SOFR/UST Futures

Swap Spreads Now Live

CME launched Eris/Treasury Inter-Commodity Spreads (ICS) on Nov 13, allowing guaranteed order book trading of spreads between between Eris SOFR Swap futures and CME Treasury futures
These ICS markets offer electronic execution of futures/futures swap spreads to dealers and other traditional swap users in:
5y Eris SOFR vs FV
7y Eris SOFR vs. TY
10y Eris SOFR vs. UXY
Nascent liquidity in the ICS markets has already made an impact, with implied prices tightening Eris SOFR outright markets and spurring additional trading activity
Want to see these markets in Bloomberg? Reply to this email to request the Bloomberg Launchpad for Eris ICS, and we’ll share it with you

Open interest +48%

for 5y & 10y in the past year

5-year and 10-year Eris SOFR open interest stands at 120,014 contracts as of Jan 17, 48% higher than combined Libor/SOFR OI at the start of 2023
Growth reflects an increased number of swap users taking advantage of much-improved liquidity, fueled by CME’s February introduction of swaps/futures portfolio margining
5-year Eris SOFR saw the strongest OI growth, increasing by more than 27,000 contracts during the period

Eris Essentials

Eris Innovations is an intellectual property licensing company that partners with CME Group 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.

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

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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.