Trading volumes in CME SOFR futures and swaps accelerated to record levels in recent days, as market participants managed exposure around the OTC markets’ much-anticipated transition to SOFR discounting. The event enabled clients to smoothly transfer substantial longer-term discounting risk from EFFR to SOFR.
During the discounting transition, clients gained exposure to SOFR with a cash adjustment, re-hedging process, and voluntary basis swap auction, which had more than 200 participants.
CME SOFR swaps:
- $7 trillion notional outstanding efficiently transitioned to SOFR discounting and price alignment
- Record month for cleared SOFR swaps. Participants have cleared $84 billion in SOFR swaps in October to date, a 185% increase over September total volumes
- 320 participants have cleared $309 billion in SOFR swaps to date
CME SOFR futures:
- 7-day rolling ADV (Oct. 12-20) reached 74,278 contracts/day, the most active seven day stretch since March
- Open interest jumped 12% to 433,340 contracts over the same stretch
- 3-Month SOFR futures (SR3) achieved record open interest of 273,525, having grown 28% since mid-September, with a record 73* large holders of open interest
Source: CME Group, data as of October 20, 2020.
*According to the October 13, 2020 CFTC Commitments of Traders Report