SOFR Market Witnesses a Rapid Shift in Liquidity

Recent market trends and early 2022 trading shows momentum is growing in the shift from LIBOR to SOFR. CME Group notes that speculation on the Federal Reserve’s future rate policy has caused a surge in futures and swaps tied to SOFR. This week, open interest in the SOFR-based futures market reached a record 2.27 million contracts. Additionally, liquidity in the SOFR swaps market is also seeing a rapid increase, with roughly 45% of CME Group’s USD swap trades tied to SOFR – up from 35% in December.

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