CME Group’s SOFR futures contracts have reached a new open interest record, surpassing 1.6 million contracts on 30 November, a 137 per cent increase in open interest year to date and more than 60 per cent growth since mid-September.
November’s SOFR average daily volume increased to 304,314 contracts per day, up over 250 per cent year on year.
Additionally, CME cleared SOFR swaps notional volume reached a fourth consecutive monthly record in November, surpassing USD124 billion in cleared notional. Notably, SOFR-indexed swaps accounted for a record 32 per cent of CME Group’s USD swap trades in November, up from 5 per cent in July.
