Interest Rate Traders Position SOFR Futures Ahead Of Year End Turn

December 4, 2019 10:07 AM
SOFR futures serves as useful and liquid hedging tool for overnight repo
SOFR futures is a logical replacement for Libor futures
SOFR futures open interest hit record 573K futures contracts
Interest Rates Traders Interest In SOFR Futures

Interest Rates Traders Interest In SOFR Futures


From CME Group's Rates Recap

Despite seeing 83K contracts roll off with the expiration of the October SR1 contract, SOFR futures open interest swiftly rebounded in November, reaching a record 573K contracts on average daily volume of 48K contracts:

  • 1M SOFR futures continue to serve as a useful and liquid hedging tool for overnight repo, especially during periods more susceptible to funding pressure such as quarter-end and year-end. Open interest in the DEC 2019 (SR1Z9) and JAN 2020 (SR1F0) contracts surged by 66% in November.
  • Relative value trading vs. Fed Funds and Eurodollars accounted for 31% of SOFR volume
  • Large OI holders hit a new high of 152 in the Nov. 26 CFTC COT report

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