CHICAGO, July 20, 2018 /PRNewswire/ -- CME Group, the
world's leading and most diverse derivatives marketplace, today
announced that total volume for its new Secured Overnight Financing
Rate (SOFR) futures contract, launched on May 7, 2018, reached more than 100,000 contracts
for the first time on July 19, 2018.
Open interest also surpassed 20,000 contracts.
SOFR futures are based on the Alternative Reference Rates
Committee-endorsed SOFR index, published daily by the Federal
Reserve Bank of New York in cooperation with
the U.S. Office of Financial Research. Although correlated
with LIBOR and effective federal funds rates, SOFR, a broad
Treasury repo index, is distinct from these rates. SOFR trades
alongside CME Group's highly liquid 30-Day Federal Funds
futures and Eurodollar futures, and offers capital
efficiencies through margin offsets.
"This milestone represents continued support for the new SOFR
futures contract by a highly-diverse base of market participants,"
said Agha Mirza, CME Group Global
Head of Interest Rate Products. "We expect to continue fostering
strong liquidity in this market so it can provide wider interest
rate benchmark applications over time."
The SOFR futures markets are supported by more than 12
electronic market makers in CME Group's liquidity incentive
program. The first two block trades occurred on July 9 and July 12,
demonstrating growing liquidity in the market.
Subject to regulatory review, CME Group plans to launch cleared
SOFR overnight indexed swaps and basis swaps in September 2018, which will also use SOFR for
Price Alignment Amount and discounting.
Monthly and quarterly SOFR futures are listed by and subject to
the rules of CME. More information is available
at cmegroup.com/sofrfutures.
As the world's leading and most diverse derivatives marketplace,
CME Group (www.cmegroup.com) is where the world comes to manage
risk. CME Group exchanges offer the widest range of global
benchmark products across all major asset classes, including
futures and options based on interest rates, equity
indexes, foreign exchange, energy, agricultural
products and metals. Around the world, CME Group
brings buyers and sellers together through its CME Globex®
electronic trading platform. CME Group also operates one of
the world's leading central counterparty clearing providers
through CME Clearing, which offers clearing and settlement
services across asset classes for exchange-traded and
over-the-counter derivatives. CME Group products and services
ensure that businesses around the world can effectively manage risk
and achieve growth.
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CME-G
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SOURCE CME Group