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Libor’s Successor Overtakes Eurodollar Futures in Trading Volume

May 19, 2022, 1:00 PM

Trading in three-month futures contracts linked to the Secured Overnight Financing Rate exceeded eurodollar futures volume for the first time Wednesday, another milestone in the transition away from Libor.

Eurodollar futures, still the world’s most-used interest-rate derivative -- with open interest of 10.1 million contracts -- are losing market share as short-term interest-rate traders migrate to three-month SOFR futures, where open interest was 5.1 million. Volume in three-month SOFR futures reached 1.34 million contracts, 15% higher than eurodollar futures volume at 1.16 million.

Three-month US dollar Libor, which determines settlement values for eurodollar contracts, is set to sunset next year, ...