CME reports record SOFR derivatives trading spurred by OTC discounting switch

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

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