CME Group Proposes April 14, 2023 for Fallbacks Conversion of Eurodollar Futures and Options Contracts
CME Group has proposed a conversion of Eurodollar futures and options open interest into corresponding SOFR contracts on April 14, 2023. This plan aligns with OTC market timelines and excludes contracts expiring before June 30, 2023. SOFR options will be added to the portfolio margining solution by December 2022. In August, CME reported a record average daily volume for SOFR futures of nearly 2.5 million contracts and open interest of 19 million contracts, with SOFR options also reaching record levels. Client feedback is invited until September 30.
- Record average daily volume for SOFR futures at nearly 2.5 million contracts in August.
- Open interest for SOFR futures reached 19 million contracts.
- SOFR options exhibited record volume and open interest in August.
- The conversion proposal may disrupt existing Eurodollar futures and options trading in the transition period.
- 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 | OI Eurodollar |
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.
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SOURCE CME Group
FAQ
What is CME Group proposing for Eurodollar futures and options on April 14, 2023?
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