Soaring Liquidity: CME Group's SOFR Futures Reach New Heights

In a remarkable display of market dominance, CME Group, the world's leading derivatives marketplace, has announced that its deeply liquid SOFR futures have reached a new, all-time record in average daily volume (ADV) and open interest. This milestone underscores the growing significance of SOFR as a critical benchmark for short-term interest rate risk management.

Unlocking Unparalleled Efficiency in Interest Rate Risk Management

Unprecedented Liquidity and Open Interest

CME Group's SOFR futures have achieved a staggering new record, with an average daily volume (ADV) of 5.4 million contracts in September. This figure represents a significant milestone, showcasing the depth and breadth of liquidity in the SOFR futures market. Furthermore, the open interest for these contracts reached a new high of 13,159,646 contracts on September 17th, further solidifying the market's position as the go-to destination for short-term interest rate risk management.

Diverse Participation Fueling Growth

The growth in SOFR futures has been driven by a diverse array of market participants, including global banks, hedge funds, asset managers, and principal trading firms. This broad-based participation has contributed to the unrivaled liquidity and efficiency of the SOFR complex, making it the world's most actively traded futures contracts for short-term interest rate risk management.

Seamless Integration with Adjacent Instruments

The versatility of CME Group's SOFR futures is further enhanced by their eligibility for margin offsets versus adjacent futures and options, as well as portfolio margining with cleared interest rate swaps and cross-margining with FICC-cleared cash U.S. Treasury notes, bonds, and certain Repo transactions. This seamless integration with a wide range of financial instruments allows market participants to optimize their capital efficiency and manage their risk exposure more effectively.

Driving the Transition to SOFR

The remarkable success of CME Group's SOFR futures is a testament to the market's growing embrace of this critical benchmark. As the transition away from LIBOR continues, the deep liquidity and robust infrastructure of the SOFR futures market have become indispensable tools for market participants seeking to navigate the evolving interest rate landscape.

Unrivaled SOFR Ecosystem

Complementing the SOFR futures, CME Group's SOFR options have also experienced significant growth, with a month-to-date average daily volume (ADV) of 2.5 million contracts in September, the second-highest on record. This comprehensive SOFR ecosystem, encompassing both futures and options, provides market participants with unparalleled flexibility and efficiency in managing their short-term interest rate risk.

Cementing CME Group's Leadership

Agha Mirza, CME Group's Global Head of Rates and OTC Products, aptly summarized the significance of these new records, stating, "Our SOFR futures are the world's most actively traded futures contracts, providing clients with the deepest liquidity and strongest efficiencies for managing short-term interest rate risk." These achievements cement CME Group's position as the undisputed leader in the SOFR futures market, solidifying its role as the go-to destination for market participants seeking to navigate the evolving interest rate landscape.