Volume GrowthWith average daily volume of 2,611 contracts from November to January, Eris SOFR accounted for a 15% share of the SOFR OIS swap/swap futures market in the 1-3 year tenors, based on volume data from Clarus Financial Technologies and CME Group. LiquidityEris SOFR bid/ask spreads continue to tighten, with Eris 2y markets in February 0.25 bp or tighter 95% of regular market hours, and Eris 3y markets 0.5 bp or tighter 89% of the time. View the Eris Live Markets page during market hours. Read More Here
Eris SOFR Swap Futures show strong early volume as firms prepare to
migrate from Libor to SOFR
November 16, 2020 – CHICAGO – Eris Innovations, an intellectual property licensing company that
partners with global financial exchanges to develop futures products, today announced the successful
closing of a $2 million investment round. The announcement follows CME Group’s October 5 launch of
Eris SOFR Swap Futures (Eris SOFR), which have averaged more than 3,900 contracts traded per day in
November.
Each of the new investors is affiliated with proprietary trading firms committed to make markets in Eris
SOFR, including Arb Trading Group, Arclight Securities, Clear Capital Group, DV Trading, Sumo and
TransMarket Group. These firms join a group of existing equity holders and affiliates that includes
BlueCrest Capital Management, Chicago Trading Company, DRW, Nico Trading, and Virtu Financial.
“DV Trading sees Eris SOFR as an excellent tool for trading short-end rates, where repo market activity,
crisis-driven Federal Reserve actions and the imminent adoption of SOFR contribute to near-term trading
opportunities,” said Jared Vegosen, Co-Founder of DV Trading. “Our decision to invest in Eris Innovations
was a natural extension of our early involvement in trading Eris SOFR.”
Eris SOFR Swap Futures have exceeded the transaction count of OTC SOFR Overnight Index Swaps
(OIS) for November month-to-date, according to Clarus Financial Technology data, and account for more
than 23% of SOFR swap and swap futures notional value traded in tenors from 1-3 years.
“Eris SOFR addresses the need for additional swap liquidity as market participants look to SOFR as an
alternative to Libor,” said Michael Riddle, CEO of Eris Innovations. “Eris SOFR’s initial traction in the 1-,
2- and 3-year tenors is directly attributable to tight markets streamed by these leading futures proprietary
trading firms, and this investment further increases their alignment in making Eris SOFR successful.”
Eris SOFR Swap Futures are cash-settled futures contracts that replicate the risk exposure of a standard
SOFR OIS transaction, and extend the liquidity of CME Group’s industry-leading SOFR futures complex
out to ten years.
View live markets for Eris SOFR at erisfutures.com/live . 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 and Eris Methodology. For more information, visit erisfutures.com or follow
us on LinkedIn.
Eris Swap Futures are ideal hedging instruments for end users. Our modular video tutorials are set up to walk you through the essentials of what you need to know to get started trading. Feel free to watch the videos in sequence, or skip ahead to whatever is relevant.
Eris 101: Why Trade Eris Over Other Products (YouTube)
Eris 102: Ticker Conventions & Where to Find the Contracts (YouTube)
Eris 103: Understanding Eris Prices & Preparing to Trade (YouTube)
Eris 104: Determining Your Trade & Entering Orders (YouTube)
Eris 105: Settlement / Post Trade Tax & Accounting Considerations (YouTube)
View the presentation materials (without the video) here
In the fourth trade note of his ongoing Strategy Series, Thomas Browne explains how the transition from periodic (1, 3, 6 month) LIBOR fixings to daily SOFR removes the reset risk typically associated with hedging with futures. Browne then makes the case that standardized futures are better suited to hedging in SOFR given less need for customization, concentration of liquidity, and lower margins, among other benefits.
Read the white paper here
In this third trade note of his ongoing Strategy Series, Thomas Browne provides a useful comparison of SOFR vs LIBOR as underlying indices, and background on the upcoming transition.
The paper highlights the benefits of the overnight index and its suitability for standardization in futures.
Finally, Browne offers an overview of the new Eris SOFR Swap Futures, and guidance on how to transition out of existing LIBOR exposure into SOFR ahead of the forced fallback using the new contracts.
Read the white paper here
In the fourth trade note of his ongoing Strategy Series, Thomas Browne explains how the transition from periodic (1, 3, 6 month) LIBOR fixings to daily SOFR removes the reset risk typically associated with hedging with futures. Browne then makes the case that standardized futures are better suited to hedging in SOFR given less need for customization, concentration of liquidity, and lower margins, among other benefits.
Read the white paper here
In this third trade note of his ongoing Strategy Series, Thomas Browne provides a useful comparison of SOFR vs LIBOR as underlying indices, and background on the upcoming transition.
The paper highlights the benefits of the overnight index and its suitability for standardization in futures.
Finally, Browne offers an overview of the new Eris SOFR Swap Futures, and guidance on how to transition out of existing LIBOR exposure into SOFR ahead of the forced fallback using the new contracts.
Read the white paper here
In an independently written article for the Association for Financial Professionals' Quarterly Magazine, Ira Kawaller provides a useful introduction to swap futures, specifically focusing on Eris as a hedging tool for smaller end users with less access to the OTC market. Kawaller is founder and principal of Derivatives Litigation Services, and an expert in derivatives and hedge accounting.
Read the article here
View Ira Kawaller's bio here
Eris Swap Futures are ideal hedging instruments for end users. Our modular video tutorials are set up to walk you through the essentials of what you need to know to get started trading. Feel free to watch the videos in sequence, or skip ahead to whatever is relevant.
Eris 101: Why Trade Eris Over Other Products (YouTube)
Eris 102: Ticker Conventions & Where to Find the Contracts (YouTube)
Eris 103: Understanding Eris Prices & Preparing to Trade (YouTube)
Eris 104: Determining Your Trade & Entering Orders (YouTube)
Eris 105: Settlement / Post Trade Tax & Accounting Considerations (YouTube)
View the presentation materials (without the video) here
