CME Group to Launch Adjusted Interest Rate S&P 500 Total Return (SOFR) Futures on August 26
CME Group (CME) has announced the launch of Adjusted Interest Rate S&P 500 (AIR) Total Return (SOFR) futures on August 26, 2024, pending regulatory review. This new product will use the Secured Overnight Financing Rate (SOFR) instead of the current Effective Federal Funds Rate (EFFR). The move comes as SOFR has become the preferred industry benchmark for short-term U.S. overnight financing.
Key points:
- Year-to-date average daily volume of 9,800 contracts in existing AIR Total Return futures, up 113% year-over-year
- CME Group SOFR futures have a year-to-date average daily volume of 3.3 million contracts
- The new SOFR-based contracts aim to provide additional flexibility for managing swap exposure
CME Group (CME) ha annunciato il lancio dei Contratti a Termine Adjusted Interest Rate S&P 500 (AIR) Total Return (SOFR) il 26 agosto 2024, in attesa di revisione normativa. Questo nuovo prodotto utilizzerà il Secured Overnight Financing Rate (SOFR) anziché l'attuale Effective Federal Funds Rate (EFFR). La mossa arriva poiché il SOFR è diventato il benchmark preferito dall'industria per il finanziamento a breve termine negli Stati Uniti.
Punti chiave:
- Volume medio giornaliero da inizio anno di 9.800 contratti nei contratti AIR Total Return esistenti, in aumento del 113% rispetto all'anno precedente
- I contratti futuri SOFR del CME Group hanno un volume medio giornaliero da inizio anno di 3,3 milioni di contratti
- I nuovi contratti basati sul SOFR mirano a fornire ulteriore flessibilità nella gestione dell'esposizione agli swap
CME Group (CME) ha anunciado el lanzamiento de Futuros de Retorno Total Ajustado de Tasa de Interés S&P 500 (AIR) (SOFR) el 26 de agosto de 2024, sujeto a revisión regulatoria. Este nuevo producto usará la Tasa de Financiamiento Garantizada a Un Día (SOFR) en lugar de la Actual Tasa Efectiva de Fondos Federales (EFFR). Este movimiento se produce ya que el SOFR se ha convertido en el referente preferido de la industria para el financiamiento nocturno a corto plazo en EE. UU.
Puntos clave:
- Volumen diario promedio acumulado de 9,800 contratos en los futuros AIR Total Return existentes, un aumento del 113% interanual
- Los futuros SOFR de CME Group tienen un volumen diario promedio acumulado de 3.3 millones de contratos
- Los nuevos contratos basados en SOFR tienen como objetivo proporcionar flexibilidad adicional en la gestión de la exposición a swaps
CME 그룹(CME)이 2024년 8월 26일에 조정된 S&P 500 금리(AIR) 총 수익(SOFR) 선물을 출시한다고 발표했습니다. 이는 규제 검토를 통과해야 합니다. 이 새로운 제품은 현재의 효과적인 연방 기금 금리(EFFR) 대신 담보 야간 자금 조달 금리(SOFR)를 사용할 것입니다. 이 움직임은 SOFR가 미국 단기 야간 자금 조달의 선호 기준이 되었기 때문에 이루어졌습니다.
주요 사항:
- 기존 AIR 총 수익 선물의 올해 누적 평균 일일 거래량은 9,800 계약으로 작년 대비 113% 증가했습니다.
- CME 그룹 SOFR 선물의 누적 평균 일일 거래량은 330만 계약입니다.
- 새로운 SOFR 기반 계약은 스왑 노출 관리를 위한 추가 유연성을 제공하는 것을 목표로 합니다.
CME Group (CME) a annoncé le lancement des Futurs sur le Taux d'Intérêt Ajusté S&P 500 (AIR) Total Return (SOFR) le 26 août 2024, sous réserve de l'examen des régulations. Ce nouveau produit utilisera le Taux de Financement Garanti Overnight (SOFR) au lieu de l'actuel Taux Efficace des Fonds Fédéraux (EFFR). Cette initiative survient alors que le SOFR est devenu le standard de référence préféré de l'industrie pour le financement nocturne à court terme aux États-Unis.
Points clés:
- Volume quotidien moyen cumulé de 9.800 contrats dans les futurs AIR Total Return existants, en hausse de 113 % d'une année sur l'autre
- Les futurs SOFR de CME Group ont un volume quotidien moyen cumulé de 3,3 millions de contrats
- Les nouveaux contrats basés sur le SOFR visent à offrir une flexibilité supplémentaire pour gérer l'exposition aux swaps
CME Group (CME) hat die Einführung von Adjusted Interest Rate S&P 500 (AIR) Total Return (SOFR) Futures für den 26. August 2024 angekündigt, vorbehaltlich der behördlichen Genehmigung. Dieses neue Produkt wird anstelle des aktuellen effektiven Federal Funds Rate (EFFR) die Secured Overnight Financing Rate (SOFR) verwenden. Dieser Schritt erfolgt, da SOFR zum bevorzugten Branchennorm für kurzfristige US-Nachtfinanzierungen geworden ist.
Wichtige Punkte:
- Jährliches durchschnittliches Tagesvolumen von 9.800 Kontrakten in bestehenden AIR Total Return Futures, ein Anstieg von 113 % im Vergleich zum Vorjahr
- CME Group SOFR Futures haben ein jährliches durchschnittliches Tagesvolumen von 3,3 Millionen Kontrakten
- Die neuen, auf SOFR basierenden Verträge zielen darauf ab, zusätzliche Flexibilität im Umgang mit Swap-Exposures zu bieten
- Launch of new Adjusted Interest Rate S&P 500 (AIR) Total Return (SOFR) futures, expanding product offerings
- Record average daily volume of 9,800 contracts in existing AIR Total Return futures, up 113% year-over-year
- SOFR futures showing strong performance with 3.3 million contracts average daily volume year-to-date
- None.
CME Group's launch of Adjusted Interest Rate S&P 500 Total Return (SOFR) Futures marks a significant evolution in the derivatives market. This move aligns with the industry's shift towards SOFR as the preferred benchmark rate, replacing the Effective Federal Funds Rate (EFFR). The transition reflects broader market trends and regulatory changes following the LIBOR scandal.
The new product offers several key advantages:
- Enhanced risk management: It provides a more accurate tool for hedging interest rate risk in equity portfolios.
- Increased liquidity: Given SOFR's growing adoption, these futures could attract more market participants, potentially improving liquidity.
- Regulatory alignment: The shift to SOFR aligns with regulatory push for more robust benchmark rates.
The 113% year-over-year growth in AIR Total Return futures volume indicates strong market demand for these products. With an average daily volume of 9,800 contracts, there's clear appetite for efficient OTC alternatives. The addition of SOFR-based contracts could further accelerate this growth.
However, market participants should be aware of potential challenges:
- Transition period: There may be a learning curve as traders adapt to the new SOFR-based product.
- Basis risk: Differences between SOFR and EFFR could lead to new basis risks in some trading strategies.
- Market fragmentation: The introduction of a new product alongside existing ones could temporarily split liquidity.
Overall, this launch represents a strategic move by CME Group to stay ahead of market trends and regulatory changes, potentially strengthening its position in the equity index derivatives market.
CME Group's introduction of SOFR-based AIR Total Return futures is a strategic response to evolving market dynamics. This move highlights several key trends in financial market structure:
- Benchmark evolution: The shift from EFFR to SOFR reflects the broader market transition away from LIBOR-based rates, emphasizing the need for more robust and transaction-based benchmarks.
- Product innovation: By combining elements of equity index and interest rate products, CME is blurring traditional asset class boundaries, potentially attracting a wider range of market participants.
- OTC to exchange migration: The 113% year-over-year growth in AIR Total Return futures volume suggests a continued shift from OTC to exchange-traded derivatives, driven by regulatory pressures and the search for operational efficiencies.
The timing of this launch is particularly noteworthy. With SOFR futures already showing strong growth (3.3 million contracts average daily volume), CME is leveraging this liquidity to support a new product category. This cross-pollination between asset classes could create network effects, potentially boosting liquidity across CME's product suite.
However, the success of this new product will depend on several factors:
- Education and adoption: CME will need to educate market participants on the benefits and use cases of the new SOFR-based product.
- Liquidity provision: Ensuring sufficient market maker participation will be important for building initial liquidity.
- Regulatory landscape: Any changes in the regulatory treatment of SOFR or equity derivatives could impact the product's adoption.
In conclusion, this launch represents a significant development in market structure, potentially influencing how market participants manage equity and interest rate exposures in a post-LIBOR world.
AIR Total Return futures on
"As SOFR has become the preferred industry benchmark rate for short-term
AIR Total Return futures, based on the EFFR, are available across a range of major global indices – S&P 500, Nasdaq-100, Russell 1000, Russell 2000, Dow Jones Industrial Average, and the FTSE 100.
Launched in May 2018, CME Group SOFR futures have become the leading tool for hedging short-term interest rates, with a year-to-date average daily volume of 3.3 million contracts. Building on the growth and liquidity of the existing AIR TRF suite, these new SOFR-based contracts will combine the risk management strengths of CME Group's Equity Index and Interest Rate franchises.
For more information on these products, please visit www.cmegroup.com/sofrairtrf.com.
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
CME-G
View original content:https://www.prnewswire.com/news-releases/cme-group-to-launch-adjusted-interest-rate-sp-500-total-return-sofr-futures-on-august-26-302206384.html
SOURCE CME Group
FAQ
When will CME launch the Adjusted Interest Rate S&P 500 Total Return (SOFR) Futures?
What is the main difference between the new AIR S&P 500 Total Return futures and the existing ones?
What is the year-to-date average daily volume for CME's existing AIR Total Return futures?