ICE reports 60% of three month SOFR futures trading YTD

  • SOFR Futures had record activity in August in terms of volume traded, in September they posted $1.7 trillion notional in activity
  • Approximately 60% of Three Month SOFR market volume executed on ICE YTD
  • ICS for 3 Month SOFR and Eurodollar futures are available in the Central Limit Order Book
  • SOFR futures minimum price fluctuation is 0.0025 or $25 throughout the strips
  • The contracts offer a margin efficient way to manage exposure in the short-term end of the USD curve

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