- Proposal does not apply to Eurodollar futures and options
that expire before June 30,
2023
- Conversion date aligns with OTC market plans
- Market participants invited to provide feedback until
September 30
- SOFR options to be added to portfolio margining
solution
CHICAGO, Sept. 6,
2022 /PRNewswire/ -- CME Group, the world's
leading derivatives marketplace, today announced that based on
initial client feedback, it is proposing to convert Eurodollar
futures and options open interest into corresponding SOFR contracts
on April 14, 2023, under the
company's previously adopted fallbacks plan. Eurodollar futures and
options contracts that expire before June
30, 2023 are excluded from this proposal and will continue
to trade until their expiry.
"Our proposed conversion date will help our clients complete
their operational work as early as possible in the transition
process, while closely aligning with the recently published
industry timelines for over-the-counter interest rate swaps," said
Agha Mirza, CME Group Global Head of
Rates and OTC Products. "SOFR futures and options are now the
leading liquidity pool, as open interest has reached 19 million
contracts and volume has significantly outpaced Eurodollars. Based
on this growth, today's announcement provides a practical timeline
by which clients can bring remaining Eurodollar contracts into the
SOFR market."
In the month of August, CME Group reported record average daily
volume of nearly 2.5 million contracts and record open interest of
19 million contracts for SOFR futures and options contracts. SOFR
options had record volume and open interest in August and SOFR
futures had record open interest during the same period. Additional
highlights include:
CME Group
Statistics for the Month of August 2022
|
Contract
Type
|
Average
Daily
Volume
(ADV)
|
Open
Interest
(OI)
|
ADV Eurodollar
Equivalency (%)
|
OI Eurodollar
Equivalency (%)
|
SOFR Futures
|
1,942,041
|
7,703,845
|
164 %
|
81 %
|
SOFR Options
|
518,296
|
11,272,710
|
120 %
|
40 %
|
Ahead of the final conversion under fallbacks, liquid standard
and reduced-tick Inter-Commodity Spread (ICS) instruments are
available to facilitate the voluntary conversion of Eurodollar open
interest via the SED Spread for futures and the LS Spread for
options.
In addition, to further support the deepening of SOFR markets,
CME Group plans to add SOFR options to its portfolio
margining solution for cleared products in December 2022, subject to regulatory approval.
Portfolio margining enables clients to reduce margin requirements
by offsetting their exposure on cleared swaps versus interest rate
futures and options.
Now among the world's deepest and most consistently liquid
markets, SOFR futures and options have broad participation from
global banks, hedge funds, asset managers, principal trading firms
and other types of traders.
SOFR futures and options are listed with and subject to the
rules of CME. For more information, please
visit www.cmegroup.com/sofr.
About CME Group
As the world's leading derivatives marketplace, CME Group
(www.cmegroup.com) enables clients to trade futures, options, cash
and OTC markets, optimize portfolios, and analyze data – empowering
market participants worldwide to efficiently manage risk and
capture opportunities. CME Group exchanges offer the widest range
of global benchmark products across all major asset classes based
on interest rates, equity indexes, foreign
exchange, energy, agricultural
products and metals. The company offers futures and
options on futures trading through the CME Globex platform, fixed
income trading via BrokerTec and foreign exchange trading on the
EBS platform. In addition, it operates one of the world's leading
central counterparty clearing providers, CME Clearing.
CME Group, the Globe logo, CME, Chicago Mercantile Exchange,
Globex, and, E-mini are trademarks of Chicago Mercantile Exchange
Inc. CBOT and Chicago Board
of Trade are trademarks of Board of Trade of the City of Chicago, Inc. NYMEX, New York
Mercantile Exchange and ClearPort are trademarks of New York
Mercantile Exchange, Inc. COMEX is a trademark of Commodity
Exchange, Inc. BrokerTec and EBS are trademarks of BrokerTec Europe
LTD and EBS Group LTD, respectively. Dow Jones, Dow Jones
Industrial Average, S&P 500 and S&P are service and/or
trademarks of Dow Jones Trademark Holdings LLC, Standard &
Poor's Financial Services LLC and S&P/Dow Jones Indices LLC, as
the case may be, and have been licensed for use by Chicago
Mercantile Exchange Inc. All other trademarks are the property of
their respective owners.
CME-G
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SOURCE CME Group