- The 15,000-lot 2-year Eris SOFR trade on April 29 set a new record for largest single Eris SOFR trade leg in notional terms ($1.5 billion)
- Combined with a 5,000-lot 3-year Eris SOFR traded in the same direction, the two-legged block trade comprised $2 billion of outright risk and more than $425K of DV01
- Each leg comprised more than 50% of the open interest in its respective contract, demonstrating the ability of market makers to absorb significant size at competitive prices
- Open interest subsequently increased in both contracts (+8,500 contracts in the 2-year, +4 in the 3-year)
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