Eris SOFR: Record June caps record volume quarter
- Eris SOFR average daily volume hit 17,122 contracts in June, a new monthly record
- Q2 volume set a new quarterly record, the third consecutive quarter of growth since the June 2023 migration from Libor to SOFR
- The 5-year and 10-year tenors are driving volume growth, spurred by new hedging activity from regional banks and mortgage companies
CME Group: REITs are Switching to Swap Futures to Free Up Cash
- CME Group recently featured Eris SOFR in an OpenMarkets blog entry on “the potential for a structural shift in the REIT industry in hedging efficiency"
- The article quotes Minnesota-based REIT Two Harbors regarding their recent public disclosure of using Eris SOFR for hedging: “We’re always looking for ways to manage capital more efficiently and hedging with swap futures combines the risk exposure of SOFR swaps with the margin efficiency of futures.”
- Based on public SEC filings and using the CME CORE margin calculator, the authors conclude “top REITs could save $1.5 billion in posted margin by switching to Eris SOFR swap futures”
Open interest up 50% year to date
- Eris SOFR open interest is 259,849 contracts as of July 24, up more than 50% this year and up 25% since crossing 200K less than two months ago
- Nearly all of the growth is in front-month open interest, which currently stands at 142,200 contracts, more than doubling since April 1
- Again, 5-year and 10-year tenors lead the way, with each now having surpassed 50,000 contracts in open interest
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