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CME July Rates Recap Features Eris Growth

Date 09/07/2019

Eris Swap Futures became CME Group contracts in December 2018, providing the market with a liquid alternative to OTC swaps in an easily accessible, low-margin, quarterly futures contract that concentrates liquidity and reduces operational costs.

Eris contracts have experienced strong growth as CME Group products and in its July Rates Recap, CME highlights the following:

  • Average daily volume (ADV) of 15.1k contracts ($1.51bn), +760% from the 2018 pre-CME average
  • More than $15mm in DV01 traded in June
  • Front month open interest (OI) now stands at 84k contracts ($8.4bn), +500% YOY
  • 97 participants were active in Swap Futures (Eris & MAC) in June
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