CME Moves SOFR Transition Up to April
Posted by Colin Lambert. Last updated: October 13, 2022
CME Group has announced it will now convert all eligible Eurodollar futures and options to SOFR equivalent contracts on April 14, 2023, instead of the original plan for June 30, 2023, thus accelerating the global shift away from Ibors (interbank offered rates) as benchmarks.
The exchange says the move is based upon the latest market feedback and more closely aligned to recently published OTC interest rate swap transition timelines. CME says that feedback with respect to the conversion of cleared OTC USD derivatives has indicated a “strong desire” to manage operational work and timelines.
It also says that April, May and June 2023 Eurodollar futures and options will be excluded from the conversion and stop trading on their standard expiration date. It adds it will waive all trading fees for SED spreads and LS spreads to further reduce any frictional costs for clients wanting to move positions to SOFR prior to conversion.
The move will now occur before the June 30, 2023 deadline for the end of Libor contracts as stipulated by the UK’s Financial Conduct Authority. CME says SOFR futures and options contracts have consistently had higher volumes than Eurodollar futures – in Q3 2022, average daily volume of SOFR futures was 2.1 million compared to 1.3 million for Eurodollar futures.