Trading

Death of Libor sends CME an ‘exponential’ boom in Sofr futures contracts

‘It’s five or six times the level of activity that we saw only six months ago’

Wednesday 2 February 2022 at 14:02

Death of Libor sends CME an ‘exponential’ boom in Sofr futures contracts
Photo: AFP/Getty Images

As Libor faded away at the end of last year, January has seen record growth in its US dollar replacement rate.

Data from CME Group, a derivatives exchange, found 3 million open interest Sofr futures contracts as of January 31, with a record monthly average of more than 730,000 contracts, a year-on-year increase of 253% and 645%, respectively.