International derivatives marketplace CME Group successfully converted 7.5 million contracts of Eurodollar futures and options open interest and $4 trillion in cleared USD LIBOR swaps to corresponding SOFR derivatives in April.
“With the successful completion of these conversion milestones, we are taking a major step forward in completing the industry’s adoption of SOFR as the leading U.S. dollar interest rate benchmark,” said Agha Mirza, CME Group Global Head of Rates and OTC Products. “The path ahead for short-term interest rate risk management is stronger than ever, as open interest for SOFR derivatives is now 48 million contracts, and clients are significantly benefitting from our portfolio margining solution between cleared OTC interest rate swaps and listed futures.”
Both listed and OTC derivatives conversions were executed…
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