Chrisman Commentary: 10.2.26 Industry Chatter; Eris Innovations’ Geoffrey Sharp on Options; Poor Payrolls Friday

Robbie interviews Eris Futures' Geoffrey Sharp on Eris options on SOFR interest-rate swap futures, launching in June on CME Group. These are designed to give mortgage originators asymmetric protection against pipeline pull-through and mortgage servicing risk while reducing basis risk relative to Treasury hedges. With Eris swap futures already reaching $85 billion in open interest and mortgage production becoming more negatively convex, the key question is how quickly independent mortgage banks and their risk-management providers will adopt the new optionality.