SOFR Swap Volume Through May Up 235% YoY 
SOFR OIS Daily Notional
  • Average daily traded volume in outright SOFR overnight index swaps (OIS) surged to $6.7 billion YTD through May, a 235% increase from the same period of 2020
  • While still a fraction of Libor swap volume, the increase shows the market gaining momentum as participants prepare to cease new Libor use in 2021, as recommended by the Federal Reserve Board and the Alternative Reference Rates Committee (ARRC)
Eris SOFR grabs 15% swap market share in May
  • With May average daily volume of 3,945 contracts, Eris SOFR accounted for a 15% share of the SOFR OIS swap/swap futures markets in the 1-3 year tenors
  • Eris’ market share of 14% YTD is supported by recent onboarding from swap dealers and hedge funds seeking easily-accessible sources of SOFR swap liquidity
CME Announces Q3 Launch of BSBY Futures
Eris SOFR Resources

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 | | 646-961-4489