CME Group Achieves Four SOFR Records in November

Rhea-AI Summary

CME Group reported a significant milestone in its SOFR futures contracts, achieving over 1.6 million in open interest on November 30, marking a 137% increase year-to-date. The average daily volume for November soared to 304,314 contracts, up over 250% year-on-year. Additionally, cleared SOFR swaps notional volume surpassed $124 billion for the month. SOFR-indexed swaps constituted 32% of total USD swap trades. Overall, SOFR-linked open interest has reached 18.1 million contracts, representing 36% of total short-term interest rate futures at CME.

Positive

• Open interest in SOFR futures contracts surpassed 1.6 million, a 137% year-to-date increase.
• November's average daily volume for SOFR contracts rose to 304,314, up over 250% year-on-year.
• Cleared SOFR swaps notional volume reached a record $124 billion in November.
• SOFR-indexed swaps accounted for 32% of CME's USD swap trades, up from 5% in July.
• Total SOFR-linked open interest increased to 18.1 million contracts, representing 36% of short-term interest rate futures.

Negative

• None.

CHICAGO, Dec. 2, 2021 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, today announced that its SOFR futures contracts reached a new open interest record, surpassing 1.6 million contracts on November 30, a 137% increase in open interest year to date and more than 60% growth since mid-September. November's SOFR average daily volume increased to 304,314 contracts per day, up over 250% year on year.

Additionally, CME cleared SOFR swaps notional volume reached a fourth consecutive monthly record in November, surpassing $124 billion in cleared notional. Notably, SOFR-indexed swaps accounted for a record 32% of CME Group's USD swap trades in November, up from 5% in July.

"These milestones are reflective of the continued adoption and growing demand amongst participants in both listed futures and OTC SOFR markets," said Agha Mirza, CME Group Global Head of Rates and OTC Products. "As we grow closer to key transition dates, we anticipate participants will continue to increase their use of CME SOFR futures, options, and cleared swaps to efficiently manage their interest rate risks."

SOFR-linked open interest, which includes open interest in SOFR futures and options plus any Eurodollar futures and options open interest in expirations beyond June 2023, has increased to 18.1 million contracts since the adoption of SOFR-based fallbacks. Total SOFR-linked open interest has increased to represent 36% of total short-term interest rate futures and options open interest at CME Group.

CME Group is the only entity to offer Eurodollar futures and options, a SOFR solution that includes SOFR futures, options, cleared swaps and Term SOFR. CME's ARRC endorsed Term SOFR Reference Rates, which are both IOSCO and BMR compliant, continues to see strong and growing demand, with over 1,000 licenses issued to over 250 firms.

SOFR futures and cleared OTC swaps are listed with and subject to the rules of CME. For more information on SOFR futures, please visit www.cmegroup.com/sofr.    

As the world's leading and most diverse derivatives marketplace, CME Group (www.cmegroup.com) enables clients to trade futures, options, cash and OTC markets, optimize portfolios, and analyze data – empowering market participants worldwide to efficiently manage risk and capture opportunities. CME Group exchanges offer the widest range of global benchmark products across all major asset classes based on interest rates, equity indexes, foreign exchange, energy, agricultural products and metals.  The company offers futures and options on futures trading through the CME Globex® platform, fixed income trading via BrokerTec and foreign exchange trading on the EBS platform.  In addition, it operates one of the world's leading central counterparty clearing providers, CME Clearing. 

CME Group, the Globe logo, CME, Chicago Mercantile Exchange, Globex, and, E-mini are trademarks of Chicago Mercantile Exchange Inc.  CBOT and Chicago Board of Trade are trademarks of Board of Trade of the City of Chicago, Inc.  NYMEX, New York Mercantile Exchange and ClearPort are trademarks of New York Mercantile Exchange, Inc.  COMEX is a trademark of Commodity Exchange, Inc. BrokerTec and EBS are trademarks of BrokerTec Europe LTD and EBS Group LTD, respectively.  Dow Jones, Dow Jones Industrial Average, S&P 500 and S&P are service and/or trademarks of Dow Jones Trademark Holdings LLC, Standard & Poor's Financial Services LLC and S&P/Dow Jones Indices LLC, as the case may be, and have been licensed for use by Chicago Mercantile Exchange Inc.  All other trademarks are the property of their respective owners.

CME-G

 

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SOURCE CME Group

FAQ

What is the recent achievement of CME regarding SOFR futures contracts?

CME Group reported that its SOFR futures contracts surpassed 1.6 million in open interest on November 30, 2021.

How much did the average daily volume of SOFR contracts increase in November 2021?

The average daily volume for SOFR contracts in November 2021 increased to 304,314 contracts, up over 250% year-on-year.

What was the cleared notional volume for SOFR swaps in November 2021?

In November 2021, CME cleared SOFR swaps with a notional volume surpassing $124 billion.

What percentage of CME's USD swap trades were SOFR-indexed swaps in November 2021?

SOFR-indexed swaps accounted for 32% of CME Group's USD swap trades in November 2021.

What is the total SOFR-linked open interest at CME Group as of December 2021?

Total SOFR-linked open interest increased to 18.1 million contracts, representing 36% of total short-term interest rate futures and options open interest.