CME Group SOFR Futures Open Interest Sets New Record, Surpasses One Million Contracts

Rhea-AI Summary

CME Group announced that its SOFR futures contracts achieved a record open interest of 1,004,882 contracts on September 15, 2021. This marks the seventh consecutive day of record open interest. SOFR futures volume jumped 195% year-over-year to 125,000 contracts per day in August. Total SOFR-linked open interest has reached 20.2 million contracts, accounting for 38% of the total short-term interest rate futures and options open interest at CME. The rise in SOFR futures reflects significant market adoption since the introduction of SOFR-based fallbacks in March 2021.

Positive

• SOFR futures open interest reached a record of 1,004,882 contracts.
• SOFR futures volume increased 195% year-over-year to 125,000 contracts per day in August.
• SOFR-linked open interest rose to 20.2 million contracts, making up 38% of total short-term interest rate futures open interest.

Negative

• None.

CHICAGO, Sept. 16, 2021 /PRNewswire/ -- CME Group, the world's leading and most diverse derivatives marketplace, today announced that its SOFR futures contracts reached a new record, surpassing one million contracts of open interest on September 15.

SOFR futures open interest reached 1,004,882 contracts yesterday, marking its seventh-consecutive record open interest day:

09/15/2021	1,004,882
09/14/2021	951,157
09/13/2021	932,009
09/10/2021	921,028
09/09/2021	911,495
09/08/2021	894,362
09/07/2021	883,105

"We are pleased with the significant progress the market has made in adopting CME SOFR futures since we introduced these contracts nearly three and a half years ago," said Agha Mirza, CME Group Global Head of Rates and OTC Products. "This milestone is reflective of the strong growth we've seen throughout the SOFR ecosystem since CME implemented SOFR-based fallbacks on March 29 of this year. In August, SOFR futures volume increased 195% year over year to 125,000 contracts per day and our OTC SOFR swaps volume rose to $65 billion in notional volume cleared."

Additionally, SOFR-linked open interest, which includes open interest in SOFR futures and options plus any Eurodollar futures and options open interest beyond June 2023, has increased to 20.2 million contracts since the adoption of SOFR-based fallbacks. Total SOFR-linked open interest has increased to 38% 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 holistic SOFR solution that includes SOFR futures, options, cleared swaps and Term SOFR, as well as BSBY futures ensuring market participants have a choice of deeply liquid risk management tools. 

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 was the record open interest for CME SOFR futures on September 15, 2021?

The record open interest for CME SOFR futures on September 15, 2021, was 1,004,882 contracts.

How much did the SOFR futures volume increase in August 2021?

In August 2021, the SOFR futures volume increased by 195% year-over-year to 125,000 contracts per day.

What percentage of total short-term interest rate futures open interest does SOFR-linked open interest represent?

SOFR-linked open interest represents 38% of total short-term interest rate futures and options open interest at CME.

How long has CME Group been offering SOFR futures?

CME Group introduced SOFR futures nearly three and a half years ago.

What significant market development occurred on September 15, 2021, for CME Group?

On September 15, 2021, CME Group's SOFR futures contracts surpassed one million contracts of open interest.