- CME Eris Swap Futures traded 105,925 contracts on June 8, breaking the 100,000-contract ($10 billion notional) threshold for the first time, and setting a daily volume record
- Front-month open interest has more than tripled since early September, fueling June roll activity that drove volume in Libor-based Eris Swap Futures to 96,225 contracts, surpassing the previous record of 55,616 from March 29, 2019
- Eris SOFR Swap Futures added 9,700 contracts traded, all in the 1-3 year sector where Eris SOFR accounted for 15% of SOFR swap/swap futures volume in May
- “Breaking the 100,000-contract threshold yesterday shows the liquidity CME’s Eris Swap Futures bring to market participants soon to transition from Libor to SOFR and credit-sensitive rates,” said Eris Innovations’ CEO Michael Riddle. “Eris SOFR already plays a meaningful role in the nascent SOFR swap market, and we expect Eris SOFR volume to grow in the next two quarters as more dealers, hedge funds and other end users onboard to trade.”
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