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’

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.

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