NEWSLETTER: Eris SOFR 15% of 1-3y SOFR Swap Volume

Submitted by greg.carter on Fri, 02/19/2021 - 16:52

Volume Growth

With average daily volume of 2,611 contracts from November to January, Eris SOFR accounted for a 15% share of the SOFR OIS swap/swap futures market in the 1-3 year tenors, based on volume data from Clarus Financial Technologies and CME Group. 


Eris SOFR bid/ask spreads continue to tighten, with Eris 2y markets in February 0.25 bp or tighter 95% of regular market hours, and Eris 3y markets 0.5 bp or tighter 89% of the time. View the Eris Live Markets page during market hours.


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Image of Eris SOFR vs OTC SOFR Market Share