- 7.5 million contracts in Eurodollar OI and $4 trillion in cleared USD LIBOR swaps
successfully converted to SOFR in April
- SOFR futures and options open interest reaches 48 million
contracts
- CME Term SOFR use exceeds $3.7
trillion in loans, 2,400 licensed firms
CHICAGO, April 24,
2023 /PRNewswire/ -- CME Group, the world's
leading derivatives marketplace, today announced that
it successfully converted 7.5 million contracts of Eurodollar
futures and options open interest and $4
trillion in cleared USD LIBOR swaps to corresponding SOFR
derivatives in April.
"With the successful completion of these conversion milestones,
we are taking a major step forward in completing the industry's
adoption of SOFR as the leading U.S. dollar interest rate
benchmark," said Agha Mirza, CME
Group Global Head of Rates and OTC Products. "The path ahead for
short-term interest rate risk management is stronger than ever, as
open interest for SOFR derivatives is now 48 million contracts, and
clients are significantly benefitting from our portfolio margining
solution between cleared OTC interest rate swaps and listed
futures."
Both listed and OTC derivatives conversions were executed in
alignment with industry fallback plans to help participants
optimize their operational work and timelines ahead of USD LIBOR
cessation. Only the May 2023 and
June 2023 contracts, excluded from
this transition, remain for Eurodollar futures and options, and
will trade until their natural expiry prior to USD LIBOR cessation
on June 30, 2023.
CME Group launched SOFR futures in May
2018, followed by SOFR options in January 2020. The average daily volume (ADV) of
SOFR futures and options in 2023 has reached nearly 6 million
contracts, which is 34% higher than the highest annual ADV that
Eurodollar futures and options reached in their four-decade
history.
Cleared SOFR swaps averaged a record $22B notional per day at CME Group in March,
representing over 80% of the cleared USD trade count. The secondary
conversion of USD swaps is scheduled for July 3, 2023, when zero coupon swaps and
remaining USD LIBOR swaps will be converted.
In addition, CME Term SOFR has been widely adopted to replace
USD LIBOR for new business loans, credit facilities and as a
fallback rate for legacy LIBOR loans. The benchmark rate has now
been referenced in more than $3.7
trillion in loans and $1
trillion in derivatives hedges, and is licensed by over
2,400 firms.
As the leading tools for hedging short-term interest rates, SOFR
futures and options have deep liquidity pools and broad
participation from global banks, hedge funds, asset managers,
principal trading firms and other types of traders. The CME Group
portfolio margining solution enables clients to reduce initial
margin requirements by offsetting their exposures in cleared swaps
versus correlated interest rate futures and options.
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,
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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. The S&P 500 Index is a
product of S&P Dow Jones Indices LLC ("S&P DJI").
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trademarks of Standard & Poor's Financial Services LLC; Dow
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CME-G
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SOURCE CME Group