SOFR, So Liquid: SOFR Futures’ Year One Highlights
SOFR Futures’ First Year Ranks Among Most Successful in CME Group's 171-Year History
CME SOFR Futures’ first year: Total volume of 3.5M contracts ($6.4T in notional, $100M DV01), with open interest reaching 151K contracts ($479B notional).
SOFR Futures Year One Highlights
- 140 firms have traded CME SOFR futures*
- ADV has grown to 28K in 2019
- Daily volume exceeded 40K contracts 19 times since Feb 15, including a record 81K on Mar 7
- Our active network of block market makers has enabled over $4.4M in DV01 risk to be executed via bilateral block trades
- Inter-Commodity Spreads (ICS) vs. ED and FF account for as much as 20% of volume on some days
- SOFR term structure extending 3+ years
- 0.5 to 1.0 tick wide markets out 18+ months
*As highlighted in the ARRC’s “ SOFR: A Year in Review ," CME remains the only exchange to report participant count.
Data as of May 6, 2019, unless otherwise specified
Notional shown for illustrative purposes only, computed based on the value of an equivalent money market instrument with the same dollar-value-of-basis-point (DV01). One ED/SR3 contract represents ~$1M notional. One FF/SR1 contract represents ~5M notional
**Source: Bloomberg
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