CME Group Announces Record SOFR Volume in November

CME Group, which operates one of the largest derivatives exchanges in the United States, announced that its SOFR average daily volume (ADV) for the month of November rose to 304,314 contracts per day, up over 250% on a YoY basis.

In terms of open interest in SOFR futures, it reached 1.6 million contracts on November 30, 2021, a 137% increase in open interest year to date and more than 60% growth since mid-September.

In addition, the Group reported a cleared SOFR swaps notional volume of $124 billion. Notably, SOFR-indexed swaps accounted for a record 32% of CME Group's USD swap trades in November, up from 5% in July.

"These milestones are reflective of the continued adoption and growing demand amongst participants in both listed futures and OTC SOFR markets," said Agha Mirza, CME Group Global Head of Rates and OTC Products. "As we grow closer to key transition dates, we anticipate participants will continue to increase their use of CME SOFR futures, options, and cleared swaps to efficiently manage their interest rate risks."

As Fazzaco reported earlier, CME Group recently posted its market statistics for the month of November 2021​, showing a 20% increase in ADV against the prior year.