Eris SOFR markets stay strong during $3B trading day
- Eris SOFR trading activity spiked notably on April 22, with 32,767 contracts ($3.3 billion notional) traded
- Activity included more than $1.5B in outright 10y Eris SOFR (over $1.2mm DV01) and $1.5B in 5y Eris SOFR (nearly $700K DV01)
- Multiple participants called out the robustness of the Eris SOFR markets during this period, citing its capacity to take on large positions
- “On April 22, our team executed more than 30,000 Eris SOFR contracts for our clients,” said Rob Powell, Senior Managing Director of the Fixed Income Group at RJ O'Brien & Associates. “Eris SOFR markets remained solid throughout the day, and our clients were pleased with our ability to negotiate block-sized trades in line with transparent, electronically-posted prices.”
Eris SOFR open interest surpasses 200,000
- Eris SOFR open interest recently surpassed 200,000 contracts ($20B notional), setting a new record
- Launched in 2020, Eris SOFR surged in trading activity and open interest in 2023 as SOFR replaced LIBOR as the pre-eminent U.S. interest rate benchmark
- In 2024, front month open interest is up 59% and overall open interest is up 19%
- Growth is focused in the 5-year and 10-year tenors, driven by new hedger clients
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