Activity in CME SOFR futures reached a new high in June , with more than 10 new firms commencing trades in the month . Daily trades averaged 28,000 , with 11 % executed as Inter Commodity Spreads and open contracts reaching 168,000 , both of which were new records . The CME also reported that $ 4bn notional in OTC - cleared non - LIBOR basis trades were transacted during the month .
Activity in CME SOFR futures reached a new high in June, with more than 10 new firms commencing trade in the contracts. Daily volume averaged 28,000, with 11% executed as Inter Commodity Spreads and open interest reaching 168,000, both of which were new records. The CME also reported that $4bn notional in OTC-cleared SOFR-LIBOR basis swaps were transacted during the month.