Eris SOFR Portfolio Margining Attracts New Swap Dealers

Multiple swap dealers are onboarding to trade Eris SOFR by year end alongside CME’s planned implementation of Portfolio Margining between Eris SOFR and CME interest rate swaps, which will dramatically reduce the capital requirements of holding swap hedges (pending OTC IRS Risk Committee approval)
On-screen liquidity has increased notably in early October, with nine dedicated market makers posting two-sided markets in excess of $300,000 DV01 for the 1-10 year tenors
These increases in liquidity are well-timed, as the more than 300,000 contracts of Eris Libor open interest are expected to commence migrating to Eris SOFR in December and Q1
Eris SOFR participation continued to increase in Q3, and they now account for 10% of 1-3 year swaps/swap futures volume YTD, according to Clarus Financial Technology data