Record Eris SOFR volume

grows for fifth straight quarter

  • With strong volume in the final week of December, Eris SOFR ended a record volume year with a record volume quarter, averaging 13,209 contracts traded daily in Q4
  • December average daily volume of 29,906 contracts (nearly $3B daily notional) also set a monthly record, surpassing September 2024
  • Quarterly roll activity propelled a new daily volume record of 299,509 contracts on December 10

Use Eris to Trade Swap Spreads

  • After tightening from June through October 2024, 5-, 7- and 10-year swap spreads have bounced around within a ~5 bp range since early November’s US election 
  • Market participants can use Eris/Treasury Swap Spreads (ETSS) to gain exposure to futures-based swap spreads 
  • As exchange-listed spreads of Eris SOFR Swap futures vs. CME Treasury futures, ETSS enable electronic trading in an anonymous, continuously-quoted order book market, with futures margin efficiency

Feature: Margin Savings page

  • Today’s featured web page shows “Margin Savings for Eris SOFR vs. cleared swaps,” with data based on the CME CORE margin calculator
  • CME Clearing requires up to 65% less initial margin for Eris SOFR positions, compared with equivalent swaps
  • For example, current data shows a $100 million position in 5y Eris SOFR requires IM of $1.2 million, 62% lower than the $3.1 million required for a pay fixed interest rate swap

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 (NEW)


Hedger Introductions

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 (NEW)

Were you forwarded this email? Click here to sign up for our newsletter


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

STAY CONNECTED
Linkedin  Twitter  

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.