Eris SOFR open interest hit a new record of 35,034 contracts on Tuesday, September 6, just ahead of the quarterly roll commencing September 12Open interest has increased more than 3X since May 31, driven in large part by block trades migrating Eris Libor positions to Eris SOFRShort-end growth has been particularly strong, spurred in part by end users hedging recent renewals of credit facilities, now indexed to SOFR Click Here to Read More
CME Eris Swap Futures set a new record in June with 21,100 contracts average daily volume (ADV)This mark surpasses the previous record of 18,659 ADV in March2-year Eris Libor (LIT) saw the largest share of this daily volume, as participants hedged recent volatility at the short endJune saw multiple end users switch to Eris SOFR and the first trades in CME's new Eris BSBY Swap FuturesClick Here to Read More
CME Eris Swap Futures volume hit 159,924 contracts on Tuesday, June 7, surpassing the previous record of 148,205 set on March 10Quarterly rolls in 2y Eris Libor (LIT) were a primary driver, fueled by recent record front-month open interest from increased hedging by end usersVolume included block trades rolling to Eris SOFR Sep from Eris Libor June contracts across multiple tenors, including 2y, 3y, 4y and 5yClick Here to Read More!
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
