- Driven by capital efficiency improvements from CME’s late-Feb introduction of Portfolio Margining, Eris SOFR swap futures order book liquidity has grown tighter and deeper
- 10-year Eris SOFR has benefited most, with a 5X increase in quoted size and more than 50% reduction in average bid/ask spread since January
- 10y open interest increased to 19,776 contracts, recently setting trading volume records for roll and non-roll months
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