Eris SOFR 15% of 1-3y SOFR swap volume Nov-Jan

Volume Growth With average daily volume of 2,611 contracts from November to January, Eris SOFR accounted for a 15% share of the SOFR OIS swap/swap futures market in the 1-3 year tenors, based on volume data from Clarus Financial Technologies and CME Group.   Liquidity Eris SOFR bid/ask spreads continue to tighten, with Eris SOFR 2y markets in February 0.25 bp or tighter 95% of regular market hours, and Eris SOFR 3y markets 0.5 bp or tighter 89% of the time. View the Eris Live Markets page during market hours.

CME Clearing Adds Eris SOFR Swap Futures Margin Netting with Swaps to H2 2021 Roadmap

CME Clearing recently updated its Project Roadmap to include portfolio margining between Eris SOFR Swap Futures and CME cleared interest rates swaps, including a target date in 2021. This enhancement creates an efficient SOFR liquidity pool with the widest and most diverse range of SOFR instruments globally.    Click here for CME Clearing Roadmap

Eris SOFR Resources

Eris SOFR product details Live Eris markets Contract specifications CME Eris SOFR primer The Eris Methodology Contract Lookup; swap dates, coupons, price components Margin comparison - Eris vs equivalent cleared OTC swap Price to yield calculator Eris ftp site; discount factors, settlement files, and more

Eris Innovations is an intellectual property licensing company that partners with CME Group, ICE and other global exchanges to develop futures based on its patented product design, the Eris Methodology [email protected] | www.erisfutures.com | 646-961-4489

STAY CONNECTED ‌ ‌ 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.