CME Eris Swap Futures traded 105,925 contracts on June 8, breaking the 100,000-contract ($10 billion notional) threshold for the first time, and setting a daily volume recordFront-month open interest has more than tripled since early September, fueling June roll activity that drove volume in Libor-based Eris Swap Futures to 96,225 contracts, surpassing the previous record of 55,616 from March 29, 2019Eris SOFR Swap Futures added 9,700 contracts traded, all in the 1-3 year sector where Eris SOFR accounted for 15% of SOFR swap/swap futures volume in May“Breaking the 100,000-contract threshold yesterday shows the liquidity CME’s Eris Swap Futures bring to market participants soon to transition from Libor to SOFR and credit-sensitive rates,” said Eris Innovations’ CEO Michael Riddle. “Eris SOFR already plays a meaningful role in the nascent SOFR swap market, and we expect Eris SOFR volume to grow in the next two quarters as more dealers, hedge funds and other end users onboard to trade.”Click Here to Read More
With March 7-10 marking the first Eris quarterly roll following year-end regulatory guidance limiting Libor usage, market participants are poised to migrate to Eris SOFR as they roll from March to June contracts In February, Eris SOFR average daily volume is up nearly 100% compared to Q4 (MTD through February 11) With more than 109,000 contracts of open interest, Eris Libor March positions are expected to roll to Eris SOFR predominantly via block trading, which allows negotiation of two-legged spread trades without execution risk (pursuant to exchange rules) Off-the-run Eris Libor positions will remain tradable until June 2023, then convert in Eris SOFR Swap Futures, according to the CME Conversion Proposal for Eris Libor Products Click Here to read more!
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 8As of December 14, total Eris open interest stands at 409,805, an increase of 94% year-to-dateClick Here to Read More
Less than 45 days after surpassing 300,000 open interest for the first time, CME Eris Swap Futures open interest surpassed 400,000 on October 15 and closed the month at a record 422,550
Front-month open interest has grown more than 400% YTD, ending October at a record level of 148,772 contracts
CME Eris Swap Futures traded an average of 11,398 contracts per day in October, surpassing by more than 25% the previous record volume mark for a non-roll month (9,035 in August 2019)
A substantial portion of this growth is driven by new and existing end user clients using Eris Swap Futures to hedge rate moves during October’s swap curve flattening and the looming prospects of Federal Reserve rate hikes
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CME Eris Swap Futures achieved record open interest of 331,445 on Oct 5, continuing the upward trend from the record-setting 31% growth in Q3
During Q3, open interest grew by more than 77,000 contracts, from 251,833 to 328,957
Notably, OI in the Eris Libor 5-year tenor grew 98% to 81,495 contracts, driven by interest rate hedging from end users
Total OI increased 77% in the past year, including multiple OI records set in Q3 for Eris SOFR and legacy Eris Libor Swap Futures
By year end, CME is expected to announce its protocol for converting legacy Eris Libor positions to Eris SOFR Swap Futures positions upon the cessation of 3-month USD Libor in June 2023
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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 dataBy comparison, SOFR swaps accounted for just 3% of DV01 traded for the previous 60-day period leading up to July 25The 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 SOFRClick Here to Read More
Average daily traded volume in outright SOFR overnight index swaps (OIS) surged to $6.7 billion YTD through May, a 235% increase from the same period of 2020
While still a fraction of Libor swap volume, the increase shows the market gaining momentum as participants prepare to cease new Libor use in 2021, as recommended by the Federal Reserve Board and the Alternative Reference Rates Committee (ARRC)
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SOFR OIS Volume in 1-3y tenors grew to a monthly record $72.1 billion in February, featuring strong growth from both OTC Swaps (up 106% from January) and Eris SOFR Swap Futures (up 214%) Overall SOFR OIS volume jumped 67% in February to a record $170 billion notional across swaps and swap futures in all tenors, according to data from Clarus Financial Technology and CME Group For more information Click HERE
Volume GrowthWith 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. LiquidityEris 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. Read More Here
