Open interest cracks 
800,000 contracts

• Eris open interest (OI) continued its steep rise, crossing 800,000 contracts ($80B notional) for the first time on July 29, hitting a record high 818,762 contracts on August 3
• OI has more than doubled over the past year, exceeding 600K for the first time in December and 700K in March
• 2-year Eris SOFR OI growth has been especially noteworthy, increasing more than 75% since July 1 to 213,234 contracts on August 18

Institutional size drives 
record flows on Aug 3

• Eris SOFR traded more than 167,000 contracts ($16.7B notional) on August 3, the largest non-roll trading day ever
• $4.5mm DV01 of outright risk traded overall, including ten block trades of $200K DV01 or more, demonstrating institutional-grade liquidity provision by multiple swap dealers and market makers
• Notably, more than $2mm DV01 traded in off-the-run Eris SOFR contracts, showing clients can close out aged positions efficiently
• Reuters cited Eris SOFR volume (paywall) as a signal of hedging of mortgage extension risk following a sharp backup in Treasury yields
• Bloomberg covered the trading flows (paywall) as well, counting more than 23 block trades between 9:00 and 12:30 ET, including two 15,000-lot blocks ($1.5B notional) in 2-year Eris SOFR 

How Eris Options compare 
with OTC Swaptions

• This week, CME Group published Trade Swaption Risk On-Exchange with Eris Options, by Eric Leininger, Head of Research and New Product Development for Interest Rates and Equities
• A 9-minute read, the article covers how the Eris Options market fits into the CME interest rate options complex, quantifies the capital advantages over OTC swaptions, and explains how future-style margining mimics forward premium
• It also features the Eris Options Volume & Open Interest page, where users can view the Swaption-equivalent strike rate and Normal Rate Volatility (BP Vol) of Eris Options
• Learn more about Eris Options at erisfutures.com/options

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.