CME reports record trading in SOFR futures as OI surpasses $960 billion notional

Open interest in CME SOFR futures surged to a record 283K contracts ($960B notional) in August, on record ADV of 40K contracts:

  • More than 15 new firms began trading in August, pushing total participation to 195+ firms since launch
  • Inter-commodity spreading (ICS) vs. Eurodollars and Fed Funds continues to grow, with record Globex ADV of 8.2K contracts in August (1.9K vs. ED, 6.3K vs. FF)
  • $141B notional in block/EFRP volume, driven by block ICS
  • Large OI holders hit a record 120 in the August 27 CFTC COT report
  • In the cash market, issuance of SOFR-linked floating-rate notes hit a record $55B notional in August

Expanded futures listings coming September 30:

  • Three-Month SOFR futures (SR3) listings will be expanded to 10 years (39 quarters)
  • One-Month SOFR futures (SR1) listings will be expanded to 13 months

➜ View SOFR futures growth chart

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