CME Group, the world's leading and most diverse derivatives marketplace, today announced that total volume for its new Secured Overnight Financing Rate (SOFR) futures contract, launched on May 7, 2018, reached more than 100,000 contracts for the first time on July 19, 2018. Open interest also surpassed 20,000 contracts.

SOFR futures are based on the Alternative Reference Rates Committee-endorsed SOFR index, published daily by the Federal Reserve Bank of New York in cooperation with the U.S. Office of Financial Research. Although correlated with LIBOR and effective federal funds rates, SOFR, a broad Treasury repo index, is distinct from these rates. SOFR trades alongside CME Group's highly liquid 30-Day Federal Funds futures and Eurodollar futures, and offers capital efficiencies through margin offsets.

"This milestone represents continued support for the new SOFR futures contract by a highly-diverse base of market participants," said Agha Mirza, CME Group Global Head of Interest Rate Products. "We expect to continue fostering strong liquidity in this market so it can provide wider interest rate benchmark applications over time."

The SOFR futures markets are supported by more than 12 electronic market makers in CME Group's liquidity incentive program. The first two block trades occurred on July 9 and July 12, demonstrating growing liquidity in the market.

Subject to regulatory review, CME Group plans to launch cleared SOFR overnight indexed swaps and basis swaps in September 2018, which will also use SOFR for Price Alignment Amount and discounting.

Monthly and quarterly SOFR futures are listed by and subject to the rules of CME. More information is available at cmegroup.com/sofrfutures.