15,000-lot 2-year

Eris SOFR trade sets record

• The 15,000-lot 2-year Eris SOFR trade on April 29 set a new record for largest single Eris SOFR trade leg in notional terms ($1.5 billion)
• Combined with a 5,000-lot 3-year Eris SOFR traded in the same direction, the two-legged block trade comprised $2 billion of outright risk and more than $425K of DV01
• Each leg comprised more than 50% of the open interest in its respective contract, demonstrating the ability of market makers to absorb significant size at competitive prices
• Open interest subsequently increased in both contracts (+8,500 contracts in the 2-year, +4 in the 3-year)

Volatile swap spreads drive record April volume

• April average daily volume for Eris SOFR was 7,896 contracts, up 78% year-on-year and setting a new monthly record for April
• Highlights included more than 13,000 contracts of 5-year Eris/Treasury Swap Spreads trading in the two-day period of April 22-23, across more than 140 order book trades
• Multi-basis point intraday moves in swap spreads during April highlighted the value of using Eris/Treasury Swap Spreads to transition risk between Eris SOFR and US Treasury Note futures without execution risk

Now Available On-Demand: Expert Insights from Derivative Path, CME Group, and Eris

• Access the video replay of the recent Derivative Path webinar “Swap Futures for Interest Rate Hedging: A New, Cost-Effective Tool”
• Features Isaac Wheeler (Derivative Path Head of Balance Sheet Strategy), Ted Carey (CME Group) and Craig Haymaker (Eris Innovations)
• Key takeaways include:
• Why swap futures are gaining traction with banks, credit unions, REITs, and mortgage lenders
• How swap futures offer lower margin requirements and faster onboarding compared to traditional OTC swaps
• Practical applications for large and small institutions, including real-world case studies.
• Insights on hedge accounting compatibility and operational simplicity

Eris Essentials

CME Group Articles

• CME Group paper: Hedge accounting for the masses: How futures and FASB changed hedging forever

• REITs are Switching to Swap Futures to Free Up Cash

• Trading swap spreads with futures: A primer for Eris/Treasury Swap Spreads

• Mortgage Servicing Rights (MSR) Owners turn to Futures to Hedge Interest Rate Moves

Hedger Introductions

• Eris SOFR for Hedging Loan Commitments (NEW)

• Eris SOFR for Bank ALM

• Eris SOFR for Private Lenders

• Eris SOFR for MSR hedgers

• Eris SOFR for REIT’s

Other Eris Resources

• Product Details: Eris SOFR

• Product Details: Eris/Treasury Swap Spreads

• Live Eris markets

• Eris SOFR Daily Cash Flows page

• How to calculate par rate

• Margin savings vs. swaps

• Eris SOFR FCM & Broker List

• Historical Open Interest

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 Swap futures for trading on the CBOT exchange.

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

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.