New !! CME Fed Funds-Eurodollars Exchange Spread

[AlexxS]

I've been thinking about the CME's rational to introduce this contract. Two things come to mind:

1) They want to attract liquidity to the Eurodollar
2) They want to show that they can handle different roll dates, possibly in preparation for a SOFR vs. Eurodollar ICS to transition the period until LIBOR phases out.

I don't know, but I'm kind of excited about this new contract. If there is enough liquidity, I will definitely trade it.

 

[maxinger]

well. not all new thing is going to attract lots of traders.

Just look at the recently launched Copper financial futures. volume traded is very low.

 

[i960]

1) They want to attract liquidity to the Eurodollar

It's one of the most liquid contracts in the world. Funky new products aren't going to add liquidity - monetary policy change will. The exchanges of course have no control over this.

 

[AlexxS]

NY Fed Statement Regarding the Initial Publication of Treasury Repo Reference Rates

The New York Fed plans to begin publication of the Treasury repo reference rates on April 3, 2018.

 

[Martinghoul]

And now CME announces SOFR futures:
https://www.cmegroup.com/media-room...frfutureslaunchdateandcontractspecificat.html

It's a-happenin', and somewhat faster than I expected, in fact...

 

[bone]

And now CME announces SOFR futures:
https://www.cmegroup.com/media-room...frfutureslaunchdateandcontractspecificat.html

It's a-happenin', and somewhat faster than I expected, in fact...

You called it all along, Marty.

 

[bone]

"SOFR futures will provide CME Group clients with execution efficiency through intercommodity spreads on CME Globex. This product will also offer capital efficiencies through margin offsets of up to 85 percent against other CME Group products including 30-Day Federal Funds futures, Eurodollar futures, and 10-Year T-Note futures."

"We worked extensively with our clients to design SOFR futures, which in addition to our existing suite of interest rate futures, will provide clients with new spread trading opportunities and tools that can be used for investment, risk management and hedging," said Agha Mirza, CME Group Global Head of Interest Rate Products."

 

[bone]

Hopefully this will be more difficult to manipulate and game...

"The futures will be based on the Alternative Reference Rates Committee-endorsed SOFR index, scheduled to be published daily by the Federal Reserve Bank of New York in cooperation with the U.S. Office of Financial Research beginning on April 3, 2018."

 

[AlexxS]

First day for the new FF/ED ICS. I see 1 contract traded in the July contract. Is the light volume normal for a new product or a reflection of disinterest?

 

[bathrobe]

First day for the new FF/ED ICS. I see 1 contract traded in the July contract. Is the light volume normal for a new product or a reflection of disinterest?

Give it time, when the Russell was re introduced to CME it took quite a while despite the ice problems and the CME being much more popular and an entire host of problems my group and I thought the exchange had and has (not speaking of ICS spreads, only outrights).

I can't think of it now and could be wrong, but I am certain other spreads had the kind of volume you spoke of.