Tipping Point: CME’s SOFR-linked STIR Futures eclipse Libor-linked STIR Futures for first time

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CME open interest data confirms that Secured Overnight Financing Rate (SOFR)-linked short term interest rate (STIR) Futures open interest has, for the first time, eclipsed the open interest on CME STIR Futures linked to the London Interbank Offered Rate (Libor) benchmark.

Total open interest in CME 3-Month SOFR, 1-Month SOFR and Eurodollar Futures for the Sep 2023 expiry and beyond – which will settle at a fixed spread to SOFR – now amounts to 6,888,672 contracts.

This compares with total open interest in CME 1 Month Eurodollars plus CME 3 Month Eurodollars expiring in Jan 2022 through Jun 2023 of 6,117,650 contracts.

With the expiry of approximately 1.125 million contracts for Dec 21 Eurodollar futures on 13 December, compared with just 0.1 million expiring Sep 21 SOFR contracts on 14 Dec, it looks likely that SOFR Linked STIR Futures have now permanently supplanted Libor based contracts.

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