Eurodollar futures, the world’s most widely-traded interest-rate derivatives, are quickly losing market share as activity shifts from Libor to the rate U.S. regulators favor as its successor.
Trading volume in three-month futures referencing the Secured Overnight Financing Rate reached just over 1.3 million contracts Tuesday, coming within 1% of the equivalent Libor-based eurodollar futures, the closest ever. If one-month SOFR futures are included, the volume surpassed eurodollars. Three-month U.S. dollar Libor, which determines settlement values for eurodollar contracts, is set to sunset next year.
Traders have been building SOFR books at a rapid rate since the start of the year, ...
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