CHICAGO, May 8, 2018 /PRNewswire/ -- CME Group, the
world's leading and most diverse derivatives marketplace, today
announced the first trades of the new Secured Overnight Financing
Rate (SOFR) futures contract, launched on May 7, 2018. The total volume through the first
trading day was 3,257 contracts, the majority of which traded with
minimum tick markets, demonstrating liquidity through the tightest
possible bid-offer spreads. More than 50 firms participated in the
first day of trading. Open interest reached 2,033 contracts as of
May 7.
"We are pleased to see strong industry interest and support for
the new SOFR futures contract," said Agha
Mirza, CME Group Global Head of Interest Rate Products. "The
addition of this product further strengthens CME Group's already
broad range of tools for managing exposure to interest rate price
risk around the world, and achieving greater capital
efficiencies."
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 futures provide CME Group clients with execution efficiency
through intercommodity spreads on CME Globex. Eurodollar versus Fed
Fund futures Intercommodity Spreads have seen consistent streaming
liquidity and increased trading since they launched on March 12, suggesting strong market demand for
SOFR intercommodity spreads. This product will also offer capital
efficiencies through margin offsets of up to 85 percent against
other CME Group products including 30-Day Federal Funds
futures and Eurodollar futures.
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 offer clearing and settlement
services across asset classes for exchange-traded and
over-the-counter derivatives. CME Group's products and
services ensure that businesses around the world can effectively
manage risk and achieve growth.
CME Group, the Globe logo, CME, Chicago Mercantile Exchange,
Globex and E-mini are trademarks of Chicago Mercantile Exchange
Inc. CBOT, Chicago Board of
Trade, KCBT and Kansas City Board
of Trade are trademarks of Board of Trade of the City of Chicago, Inc. NYMEX, New York
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CME-G
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SOURCE CME Group