- With March 7-10 marking the first Eris quarterly roll following year-end regulatory guidance limiting Libor usage, market participants are poised to migrate to Eris SOFR as they roll from March to June contracts
- In February, Eris SOFR average daily volume is up nearly 100% compared to Q4 (MTD through February 11)
- With more than 109,000 contracts of open interest, Eris Libor March positions are expected to roll to Eris SOFR predominantly via block trading, which allows negotiation of two-legged spread trades without execution risk (pursuant to exchange rules)
- Off-the-run Eris Libor positions will remain tradable until June 2023, then convert in Eris SOFR Swap Futures, according to the CME Conversion Proposal for Eris Libor Products
Date
