Activity in CME SOFR futures reached a new high in June, with more than 10 new firms commencing trade in the contracts. The number of contracts traded on COMEX rose to an all-time record last month as traders sought out opportunities for profit and exposure ahead of the expiration of the Federal Reserve’s Term Auction Facility (T@@ 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.