Eris SOFR is featured in a recent case study from Hedgestar, an independent provider of outsourced valuation and hedge accounting services
It’s a real-world example of a Texas-based bank using Eris SOFR to protect against rising interest rates, and the positions were assigned as FASB fair-value hedges
Many banks considered swap hedges in 2020-2021; the simplicity of Eris SOFR helped this bank move forward quickly and lock in rates before they rose more than 500 basis points
This recent article from CME Group’s Eric Leininger provides additional insight on Eris SOFR for Bank Asset/Liability Management
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10-year Eris SOFR markets tightened in August, including a best bid/ask spread within 0.5 basis points for 25% of regular trading hours, and within 0.75 bp for 85% of the time, according to BMLL Technologies data
Tightening prices are driven by market makers realizing capital efficiencies from CME’s recent addition of Eris SOFR to its cleared swap portfolio margining offering
Need help finding Eris SOFR markets on Bloomberg? Here is an example of the Bloomberg Launchpad for Eris Markets, which you can request directly from Eris
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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
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Funds to fuel growth as CME Group portfolio margining unlocks swap dealer liquidity for Eris SOFR Swap Futures
March 8, 2023 – CHICAGO – Eris Innovations, an intellectual property licensing company that partners with global financial exchanges to develop futures products, today announced the closing of a $7.2 million strategic investment round. The announcement follows the February 27 addition of Eris SOFR Swap Futures (Eris SOFR) as products eligible for portfolio margining with interest rate swaps cleared by CME Group.
Each of the investors is affiliated with companies that trade Eris SOFR, including DV Trading, DRW, Virtu Financial, ARB Trading Group and Arclight Securities. As part of the deal, Jared Vegosen, co-founder of DV Trading, has joined the Eris Innovations board of directors.
“The recent inclusion of Eris SOFR in swaps portfolio margining is a defining moment for the Eris business,” said Vegosen. “DV Trading has been an active market maker in Eris SOFR since its launch, and we plan to grow our presence to provide end users with the benefits of tighter markets.”
Portfolio Margining reduces by 85-95% the cost of holding Eris SOFR positions against offsetting interest rate swaps cleared by CME Group. These savings help swap dealers and other market makers satisfy demand from market participants, especially leveraged investors taking advantage of Eris SOFR’s efficient futures margin levels to decrease their cost of hedging. A list of swap dealers offering block markets in Eris SOFR is available at erisfutures.com/blockmm.
“The next chapter of the Eris growth story starts this week, as swap dealers and Eris partner firms leverage portfolio margining to ramp up their activity in Eris SOFR,” said Michael Riddle, CEO of Eris Innovations. “We appreciate the vote of confidence from investors who share our vision of Eris SOFR as a liquid benchmark futures contract, and welcome Jared to the board.”
Eris SOFR Swap Futures are cash-settled futures contracts listed at CME Group that replicate the risk exposure of a standard SOFR overnight index swap, with tenors from 1-30 years. End users carrying directional Eris SOFR positions can expect to save 50-70% in initial margin compared with an equivalently-structured cleared interest rate swap. Eris SOFR open interest has increased more than 150% since June 1.
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About Eris Innovations
View live markets for Eris SOFR at erisfutures.com. Eris Innovations is an intellectual property licensing company that partners with global financial exchanges to develop futures products based on its patented product design, the Eris Methodology. Trademarks of Eris Innovations and/or its affiliates include Eris, Eris Innovations, Eris SOFR and Eris Methodology. For more information, visit erisfutures.com or follow us on LinkedIn.
Media Contacts:
Michael Riddle, CEO
michael.riddle@erisfutures.com
Geoffrey Sharp, Managing Director,
Head of Product Development & Sales
geoffrey.sharp@erisfutures.com
Eris SOFR Swap Futures open interest stands at 40,741 contracts as of October 31, setting a daily recordOctober was a record month for block trades in Eris SOFR, with 33,962 contracts (nearly $3.4 billion notional)3y Eris SOFR OI is 13,387 contracts, having grown more than 10X since MayClick Here to Read More
Eris SOFR open interest hit a new record of 35,034 contracts on Tuesday, September 6, just ahead of the quarterly roll commencing September 12Open interest has increased more than 3X since May 31, driven in large part by block trades migrating Eris Libor positions to Eris SOFRShort-end growth has been particularly strong, spurred in part by end users hedging recent renewals of credit facilities, now indexed to SOFR Click Here to Read More
CME Eris Swap Futures set a new record in June with 21,100 contracts average daily volume (ADV)This mark surpasses the previous record of 18,659 ADV in March2-year Eris Libor (LIT) saw the largest share of this daily volume, as participants hedged recent volatility at the short endJune saw multiple end users switch to Eris SOFR and the first trades in CME's new Eris BSBY Swap FuturesClick Here to Read More
CME Eris Swap Futures volume hit 159,924 contracts on Tuesday, June 7, surpassing the previous record of 148,205 set on March 10Quarterly rolls in 2y Eris Libor (LIT) were a primary driver, fueled by recent record front-month open interest from increased hedging by end usersVolume included block trades rolling to Eris SOFR Sep from Eris Libor June contracts across multiple tenors, including 2y, 3y, 4y and 5yClick Here to Read More!
CME Eris Swap Futures traded 105,925 contracts on June 8, breaking the 100,000-contract ($10 billion notional) threshold for the first time, and setting a daily volume recordFront-month open interest has more than tripled since early September, fueling June roll activity that drove volume in Libor-based Eris Swap Futures to 96,225 contracts, surpassing the previous record of 55,616 from March 29, 2019Eris SOFR Swap Futures added 9,700 contracts traded, all in the 1-3 year sector where Eris SOFR accounted for 15% of SOFR swap/swap futures volume in May“Breaking the 100,000-contract threshold yesterday shows the liquidity CME’s Eris Swap Futures bring to market participants soon to transition from Libor to SOFR and credit-sensitive rates,” said Eris Innovations’ CEO Michael Riddle. “Eris SOFR already plays a meaningful role in the nascent SOFR swap market, and we expect Eris SOFR volume to grow in the next two quarters as more dealers, hedge funds and other end users onboard to trade.”Click Here to Read More
