SOFR futures volumes surge as overnight repo rates spike

Trading in the secured overnight financing rate (SOFR) futures contracts hit record levels on September 17, the same day the benchmark overnight repo rate shot up to an unprecedented 5.25%.

The daily volume of CME Clearing's one-month SOFR futures trades increased to 129,525 lots yesterday (September 17), from 50,503 the day before, an increase of 156%. Average daily trading volume between August 15 and September 13 was just 14,796 lots.

There was a smaller surge in three-month SOFR futures

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