Sofr derivatives boom as virus creates volatility

Libor adobe stock 230x150 AS
By Ross Lancaster
07 Apr 2020

Trading in CME Group’s Sofr derivatives hit record levels during March, as the exchanges and clearing group enjoyed soaring demand for its futures and cleared swaps.

A previous bout of volatility in the US repo market last September had boosted trading volumes to record levels. The transition from Libor to the Secured Overnight Financing Rate (Sofr) has lagged somewhat since Sofr was chosen to replace dollar Libor.

But the burst of rates volatility caused by the ...

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