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FTSE Mondo Visione Exchanges Index:
Eris SOFR Hits New Records Following Launch Of Portfolio Margining
Date 05/04/2023
- Eris SOFR Swap Futures set records in March with average daily volume of 8,999 contracts and open interest of 101K (March 14)
- Growth was driven by the recent launch of swaps/futures portfolio margining (PM) and the migration from Libor to SOFR
- Following the quarterly roll, 100% of front-month activity now occurs in Eris SOFR rather than Eris Libor
- 10 year Eris SOFR growth was particularly strong, with open interest now 20,240, and more than 10 clients using it for the first time
- 2y and 5y Eris SOFR also saw strong growth, with 2y open interest now 31,988, and 5y OI now 20,499
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