Volume crosses 311K as open interest sets new records

• Eris SOFR set a new daily volume record of 311,509 on Sep 9, crossing 300K for the first time
• Currently in the midst of the quarterly roll, open interest (OI) also set a new record, reaching 846,937 contracts ($85B notional)
• Front month OI, a leading indicator of future volume, now stands at the record level of 543,936 contracts, having first crossed 500K on Aug 24
• August volume, which set a new record for non-roll months, included 15 outright block trades of at least $200K DV01, demonstrating the market’s ability to move institutional size
• The largest outright August block was a 20,000-contract ($2B notional, $550K DV01) 3-year Eris SOFR trade on Aug 25, representing more than 40% of 3-year front-month OI in a single trade
• Asset Managers account for more than 190,000 contracts of Eris SOFR open interest, according to recent CFTC Commitment of Traders reports

Eris Options: Streaming quotes live on Bloomberg

• Eris Options volume grew to 6,490 contracts in August across the 2-, 5-, and 10-year underlying tenors
• Live Markets: Eris Options feature streaming, two-sided markets from four leading market makers, viewable on Bloomberg
• 2Y: YITA Comdty OMON ‹GO›
• 5Y: YIWA Comdty OMON ‹GO›
• 10Y: YIYA Comdty OMON ‹GO›
• New CME article: Don’t miss Trade Swaption Risk On-Exchange with Eris Options, which explains how the Eris Options market fits into the CME interest rate options complex and quantifies the capital advantages over OTC swaptions
• Compare with Swaptions: View volatilities and the equivalent swaption strike rate for each strike price on the VOI page

Trade Spotlight: Swap/Eris switch

• Did you know 11,129 Eris SOFR contracts ($1.1B notional) traded via EFR (Exchange For Risk) in August?
• These “Swap/Eris switches” involve simultaneously trading Eris SOFR and an offsetting OTC Swap. Examples include a 1,526-lot aged 7-year Eris SOFR on Aug 5 and a 2,310-lot aged 5-year Eris SOFR on Aug 12.
• End users trade Swap/Eris switches to save money, replacing existing swaps with lower-margin Eris SOFR positions. Packaging the swap unwind and new Eris SOFR trades typically reduces the cost of crossing the bid/ask spread separately.
• Margin savings are the prize. For example, converting a $500mm, receive-fixed swap with 3 years remaining into a 3-year Eris SOFR position allows an end user to recover more than $5.5mm in posted margin.
• Dealers and market makers use them to transfer risk between OTC swaps and Eris SOFR, which are both eligible for portfolio margining at CME
• For more information on EFR’s, which are subject to CME Rule 538, please contact geoffrey.sharp@erisfutures.com

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.