Activity in CME SOFR futures reached a new high in June, with 28,000 new firms commencing trade in the contracts. Daily volume averaged more than 10, 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.
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.