Portfolio Margining drives improved markets in Eris SOFR

  • Driven by capital efficiency improvements from CME’s late-Feb introduction of Portfolio Margining, Eris SOFR swap futures order book liquidity has grown tighter and deeper
  • 10-year Eris SOFR has benefited most, with a 5X increase in quoted size and more than 50% reduction in average bid/ask spread since January 
  • 10y open interest increased to 19,776 contracts, recently setting trading volume records for roll and non-roll months

Eris Libor converts to

Eris SOFR soon

  • The weekend of June 23, 2023, CME will convert remaining Eris Libor Swap Futures positions into Eris SOFR Swap Futures, per the CME Conversion Plan
  • Eris Libor open interest currently exceeds 100,000, implying substantial growth for the Eris SOFR complex
  • CME Clearing Advisory #23-144 contains operational details, including dates for clearing firm testing

Bloomberg Launchpad for Eris: Updated for June roll

  • Eris has created a Bloomberg Launchpad Monitor window that aggregates Eris Swap Futures prices, including par swap rate
  • The most recent version will include September contracts and Jun/Sep Calendar Spreads by this Friday, in anticipation of the June 12-16 roll
  • Click here to request the Bloomberg Launchpad for Eris

Eris Essentials

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. CME Group lists Eris SOFR, Eris Libor and Eris BSBY Swap Futures for trading on the CBOT exchange.

[email protected] | www.erisfutures.com | 646-961-4489

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.