SOFR First Propels SOFR To 20% Market Share - Eris SOFR 14% Of 1-3y Swaps In July

Driven by the SOFR First initiative recommended by the CFTC’s Market Risk Advisory Committee, last week SOFR swaps exceeded 20% of the DV01 traded among SOFR and USD Libor swaps, according to Clarus Financial Technology data
By comparison, SOFR swaps accounted for just 3% of DV01 traded for the previous 60-day period leading up to July 25
The jump in market share shows increased momentum toward meeting regulators’ goal of transitioning away from Libor by year-end
“All firms should be moving quickly to meet our supervisory guidance advising them to end the new use of Libor this year,” said Federal Reserve Board Vice Chair Randal K. Quarles in a July 29 press release announcing ARRC’s formal recommendation of Term SOFR

Eris SOFR grabs 14% of

1-3y SOFR Swaps in July

Eris SOFR accounted for 14% of notional volume traded among 1-3y SOFR swaps and swap futures in July, according to data from Clarus Financial Technology
With overall Average Daily Volume (ADV) of 3,618 for the month, Eris SOFR continues to demonstrate its utility as a source of SOFR swap liquidity

CME Eris Swap Futures

Hit Record Open Interest

On July 28, CME Eris Swap Futures established a new record for open interest of 288,444, culminating growth of more than 50% in the past 12 months
The growth has been driven by front-month open interest in legacy Eris Swap Futures indexed to ICE Libor, which now exceeds 100,000 contracts
Many holders of legacy Eris Swap Futures open interest are expected to roll positions into Eris SOFR by year-end, as liquidity migrates alongside the broader swap market

Eris SOFR Resources