From: Lorberg, Stuart <Stuart.Lorberg@cmegroup.com&gt;
Sent: 19 January 2022 12:11
Subject: Useful chart & text – Liquidity is shifting to SOFR

 

Good afternoon,

 

Plse see below – a useful ref to the pace at which ED Futures are transitioning to SOFR at present + a reference once again to the recently enhanced ED/SOFR Futures ICS at finer pricing – 0.001 bp.

 

All feedback welcome of course.

 

Stu

 

 

 

 

View in your browser         Early 2022 trading sees accelerated shift of liquidity to SOFR   The pace of the transition from USD Libor to SOFR-based derivatives has hastened dramatically to begin 2022, with trading activity in SOFR futures and swaps surging relative to their Libor-based counterparts. Through nine trading days in 2022: SOFR futures OI has risen to a record 2.27M contracts – 20% of Eurodollars. SOFR futures ADV has jumped to 531K contracts – 26% of Eurodollars. SOFR futures volume hit a record 784K contracts on Jan. 11. SOFR futures volume reached a record 35% of Eurodollars on Jan. 12. SOFR options are trading daily with streaming quotes and market makers responding to RFQs (similar to Eurodollars) via open outcry, Globex, and blocks. SOFR swaps have captured 45% of CME Group’s USD swap trades, up from 35% in December, 32% in November, and just 7% in July. Source: CME Group, data as of January 13, 2021 Ready to move positions from Eurodollars into SOFR? New reduced-tick SOFR-Eurodollar (SED) spreads are now live and trading (BBG code SEAA <Comdty>), giving participants a more cost-effective way to move positions from Eurodollars into SOFR futures by offering the ability to trade at or very close to the ISDA fallback spread for 3-month USD Libor.  Learn about SED spreads

Trademarks & Disclaimers  |  Privacy Policy  |  Cookie Policy Interact with CME Group     Helping the World Advance: CME Group comprises of four Designated Contract Markets (DCMs). Further information on each exchange’s rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX. Exchange traded and Over-The-Counter (OTC) derivatives are not suitable for all investors, and involve the risk of loss. Exchange traded and OTC derivatives are leveraged investments, and because only a percentage of a contract’s value is required to trade, it is possible to lose more than the amount of money initially deposited for an exchange traded or OTC derivative position. CME Group is the trademark of CME Group, Inc. The Globe logo, Globex® and CME® are trademarks of Chicago Mercantile Exchange, Inc. CBOT® is the trademark of the Board of Trade of the City of Chicago. NYMEX, New York Mercantile Exchange, and ClearPort are trademarks of New York Mercantile Exchange. Inc. COMEX is a trademark of Commodity Exchange, Inc The information within this presentation has been compiled by CME Group for general purposes only. Although every attempt has been made to ensure the accuracy of the information within this presentation, CME Group assumes no responsibility for any errors or omissions. This communication does not constitute a Prospectus, nor is it a recommendation to buy, sell or retain any specific investment or service. Copyright © 2022 CME Group. All rights reserved. Mailing Address: 20 South Wacker Drive, Chicago, Illinois 60606   Update my subscription settings   Unsubscribe         Three-Month SOFR Futures vs Eurodollar Futures on CME Globex Effective this Sunday, January 9 (trade date Monday, January 10), an outright futures contract that represents the differential between the Three-Month SOFR futures vs Eurodollar futures contracts will be listed for trading on CME Globex commencing with the September 2023 contract month. THREE-MONTH SOFR FUTURES VS EURODOLLAR FUTURES ON CME GLOBEX PRODUCT MDP 3.0: TAG 6937-ASSET ILINK: TAG 55-SYMBOL MDP 3.0 TAG 1151 – SECURITY GROUP TAG 167 – SECURITYTYPE TAG 167 TAG 969 – MINPRICEINCREMENT MDP 3.0 CHANNEL Three-Month SOFR Futures (SR3) vs Eurodollar Futures (GE) SED SS FUT 0.001 312 Please Note: Implieds will NOT be enabled. Trades in the SED future will be decomposed in CME Clearing to trades in the Three-Month SOFR future and Eurodollar futures as described below. Buying the SED future will result in Clearing a buy of Three-Month SOFR futures and sell of Eurodollar futures. Security Definition Example: SEDU3 Example: Buying the SED Future Buy 1 September 2023 Three-Month SOFR Futures Sell 1 September 2023 Eurodollar Futures The Three-Month SOFR futures (Clearing product code SR3) vs Eurodollar (Clearing product code ED) futures traded as SED will be cleared as outright trades and will be priced as follows: ·         The ED price will be determined as prior-day settlement, ·         The SR3 price will be determined as the prior-day Eurodollar settlement price, plus ISDA (International Swaps and Derivatives Association) spread adjustment rounded to four decimals (0.2616), plus the SED futures trade price. For additional information on the SED outright futures please refer to the Special Executive Report SER-8881. Further information on these trades is published in the Clearing House Notice. Clients can retrieve additional product and instrument information from the Reference Data API

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