Eris SOFR volume up 38% YTD

• Eris SOFR average daily volume currently stands at 13,756 contracts for 2025, up nearly 40% from 2024
• Driven by strong quarterly roll activity, September ADV hit 31,139 contracts, the second-highest month in history behind June 2025 (33,440)
• Open interest hit an all-time high of 427,941 contracts on Sep 10 before closing September at a month-end record of 409,339 contracts. View Historical Open Interest here.
• In addition to roll volume, September was also a strong month for risk transfer, featuring 10 outright block trades larger than $200K DV01, including a 15,000-lot 10-year Eris SOFR trade ($1.3mm DV01) on Sep 5

DV01 now easier to find

Source: erisfutures.com homepage

• By popular demand, DV01 (dollar value of one basis point) per contract is now featured in the Live Quotes portion of erisfutures.com
• Recommended use: Impress people in your office by translating yesterday’s 10,000-lot 5-year block trade to 460,000 DV01 (Warning: Doesn’t work at parties)
• In case you missed it, the Trade Log page now features the total DV01 of each trade in the “Quantity (DV01)” column

Did you know?

12,000-lot EFR trade

• In case you missed it, 12,000 contracts of 5-year Eris SOFR traded on August 25 via Exchange For Risk (EFR) transaction(s)
• We don’t know the background details, but a common reason for EFR trades is to save margin by replacing interest rate swaps with Eris SOFR Swap futures
• If this trade replaced $1.2 billion of 5-year pay fixed swap exposure, the participant saved ~$25 million of initial margin (64% reduction, from $39mm to $14mm), per CME CORE margin calculator 

Request Bloomberg Launchpad

• The best way to view Eris SOFR data on Bloomberg is using the Launchpad Monitor we maintain
• Click here to request the Bloomberg Launchpad for Eris
• Click here for a screenshot of what it looks like, including bid/ask, par rate equivalents, volume and open interest

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

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

• 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

• Trade Log (now with DV01!)

• Par Rate / Yield Calculator (recently enhanced)

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. 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.