Asset managers, mega blocks drive 60K ADV September volume record

• Eris SOFR Swap futures and Eris Options set another monthly volume record in September with 62,269 contracts ($6.2B notional) ADV
• Q3 ADV also set a new record of just over 32,000 contracts ($3.2B notional), up more than 135% from the prior year
• Asset Managers were a key driver of record volume, amassing significant positions during September of nearly 250,000 contracts ($25B notional) at the Sep 22 peak, according to CFTC Commitment of Traders reports
• A record-sized block trade of 45,000 contracts ($4.5B notional, $820K DV01) on September 28 (covered in this Bloomberg News story [accessible only on terminal]) was among 15 “mega block” trades of more than $200K DV01 during the month
• OI hit a daily record of 866,768 contracts ($87B notional) on September 21, with Q3 ADOI setting a new record of 793,561 contracts ($79B notional)

Big day: 6 mega blocks and 144K contracts traded last Friday

• Spurred in part by a weaker-than-expected jobs report, more than 144,000 contracts ($14.4B notional) traded on Friday, October 2, the second-highest single-day volume of any non-roll month on record
• The day included 6 mega block trades of more than 200,000 DV01 of outright risk in both on- and off-the-run contracts, including three trades over $1B notional:
• 15,000 lots of YITZ26 ($1.5B notional, $278K DV01), the on-the-run 2-year contract
• 15,000 lots of YITU26 ($1.5B notional, $272K DV01), an off-the-run 2-year contract
• 15,000 lots of YICU26 ($1.5B notional, $400K DV01), an off-the-run 3-year contract

Eris SOFR exceeds 10% of MAC SOFR swaps market

• Eris SOFR Swap futures account for a growing share of MAC SOFR swap volume, hitting 11.4% in Q2 2026, according to Sep 16 blog post from Clarus Financial Technology
• In H1 2026, Eris SOFR volume amounted to 10.6% of MAC SOFR swap volume, an increase from 8.8% in 2025 and 6.9% in 2024
• Clarus attributes the rise in Eris SOFR volume to REIT adoption, portfolio margin treatment with swaps, and a sharp increase in block trades starting in May 2025

Numerix adds Eris Options support to PolyPaths

• Numerix has added support for Eris Options to PolyPaths, its valuation and risk management platform widely used by mortgage market participants
• Users can now analyze Eris Options alongside MBS, mortgage servicing rights, whole loans and other derivatives within their existing PolyPaths workflows
• As monthly options on 2-year, 5-year, and 10-year underlying tenors, Eris Options help mortgage investors manage convexity through a capital-efficient, exchange-listed swaption alternative
• “Supporting Eris Options gives PolyPaths users another instrument for managing interest rate volatility and mortgage convexity within the analytical framework they already use to evaluate portfolios and hedges,” said David Oh, Product Manager at Numerix

Mortgage podcast: Eris Options for hedging pipeline pull-through risk

• Eris Options product expert Geoffrey Sharp joined host Robbie Chrisman on the October 2 podcast episode of The Chrisman Commentary, a widely-followed mortgage industry source covering interest rates, capital markets, and housing finance
• Geoff explained how Eris Options offer timely relief for hedgers facing increased negative convexity from three years of current-coupon mortgage production
• Hedging mortgage “pull-through risk,” a borrower's option to exit before closing, is costly with OTC swaptions or TBA options. Eris Options give independent mortgage banks an accessible, capital-efficient way to offset that non-linear exposure.

Eris Essentials

CME Group Articles

• Trade Swaption Risk On-Exchange with Eris Options (New)

• Unlocking Capital by Transitioning to Eris Swap Futures

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

• 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

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

Hedger Introductions

• Eris SOFR for Hedging Loan Commitments

• Eris SOFR for Bank ALM

• Eris SOFR for Private Lenders

• Eris SOFR for MSR hedgers

• Eris SOFR for REIT’s

Other Eris Resources

• Four Methods for Hedging Non-QM

• Eris Options Fact Card

• Eris Options Analytics Guide

• Block Market Maker List (New swap dealers added)

• Product Details: Eris SOFR

• Product Details: Eris/Treasury Swap Spreads

• Live Eris markets

• Eris SOFR Daily Cash Flows page

• Margin savings vs. swaps

• Eris SOFR FCM & Broker List

• Historical Open Interest

• Trade Log

• Par Rate / Yield Calculator

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. Futures, options, and other derivatives involve risk and are not suitable for all investors. The information has been provided to you for informational purposes only and is intended as a broad overview of certain aspects Eris SOFR swap futures and Eris Options 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.