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CME Group Proposes April 14, 2023 for Fallbacks Conversion of Eurodollar Futures and Options Contracts
Proposal does not apply to Eurodollar futures and options that expire before June 30, 2023 Conversion date aligns with OTC market plansMarket participants
About this update from Cme Group Inc.
[{"type":"text","content":"Proposal does not apply to Eurodollar futures and options that expire before June 30, 2023 Conversion date aligns with OTC market plansMarket participants invited to provide feedback until September 30SOFR options to be added to portfolio margining solutionCHICAGO, 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. \n\"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.\"\nIn 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:\nCME Group Statistics for the Month of August 2022\nContract\nType\nAverage Daily\nVolume (ADV)\nOpen\nInterest (OI)\nADV EurodollarEquivalency (%)\nOI EurodollarEquivalency (%)\nSOFR Futures\n1,942,041\n7,703,845\n164 %\n81 %\nSOFR Options\n518,296\n11,272,710\n120 %\n40 %\nAhead 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.\nIn addition, to further support the deepening of SOFR markets, CME Group plans to add SOFR options to its ...