As the transition to SOFR discounting approaches, here's a full library of resources we've created to help market participants smoothly navigate this process.
In August, a record 28 firms (7 new) cleared $22.4B in SOFR swaps, the third highest monthly volume since launch. Notional outstanding now exceeds $117B (chart).
In response to client demand, CME Group will implement the following enhancements to Fed Funds futures effective September 21*:
Effective September 14*:
Indicative margin calculations suggest clients may be able to realize up to 83% in initial margin savings with this enhancement.
Client and clearing member testing begins October 28.
In the first full month of trading:
CME SOFR futures traded over 42K contracts per day in August, +24% MoM, and the highest level since March:
Data as of August 31, 2020, unless otherwise specified
*Pending regulatory approval
**Source: August 25, 2020 CFTC Commitments of Traders Report