CME Group to Launch Adjusted Interest Rate S&P 500 Total Return (SOFR) Futures on August 26

CME Group (CME) has announced the launch of Adjusted Interest Rate S&P 500 (AIR) Total Return (SOFR) futures on August 26, 2024, pending regulatory review.

Rhea-AI Summary

CME Group (CME) has announced the launch of Adjusted Interest Rate S&P 500 (AIR) Total Return (SOFR) futures on August 26, 2024, pending regulatory review. This new product will use the Secured Overnight Financing Rate (SOFR) instead of the current Effective Federal Funds Rate (EFFR). The move comes as SOFR has become the preferred industry benchmark for short-term U.S. overnight financing.

Key points:

• Year-to-date average daily volume of 9,800 contracts in existing AIR Total Return futures, up 113% year-over-year
• CME Group SOFR futures have a year-to-date average daily volume of 3.3 million contracts
• The new SOFR-based contracts aim to provide additional flexibility for managing swap exposure

Positive

• Launch of new Adjusted Interest Rate S&P 500 (AIR) Total Return (SOFR) futures, expanding product offerings
• Record average daily volume of 9,800 contracts in existing AIR Total Return futures, up 113% year-over-year
• SOFR futures showing strong performance with 3.3 million contracts average daily volume year-to-date

Negative

• None.

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CHICAGO, July 25, 2024 /PRNewswire/ -- CME Group, the world's leading derivatives marketplace, today announced plans to launch Adjusted Interest Rate S&P 500 (AIR) Total Return (SOFR) futures on August 26, pending regulatory review.

AIR Total Return futures on U.S. indices are designed to provide total return exposure with an overnight floating rate built in. The model for the new AIR S&P 500 Total Return futures remains the same; however, the new product will use the Secured Overnight Financing Rate (SOFR) as the embedded rate instead of the current Effective Federal Funds Rate (EFFR).

"As SOFR has become the preferred industry benchmark rate for short-term U.S. overnight financing, the addition of a SOFR-based AIR TRF contract will complement our current offerings and provide additional flexibility for managing swap exposure," said Paul Woolman, Global Head of Equity Index Products at CME Group. "Year-to-date, we have seen record average daily volume of 9,800 contracts in our existing suite of AIR Total Return futures, up more than 113% year-over-year, underscoring the demand for effective and cost-efficient alternatives to OTC equivalents."

AIR Total Return futures, based on the EFFR, are available across a range of major global indices – S&P 500, Nasdaq-100, Russell 1000, Russell 2000, Dow Jones Industrial Average, and the FTSE 100.

Launched in May 2018, CME Group SOFR futures have become the leading tool for hedging short-term interest rates, with a year-to-date average daily volume of 3.3 million contracts. Building on the growth and liquidity of the existing AIR TRF suite, these new SOFR-based contracts will combine the risk management strengths of CME Group's Equity Index and Interest Rate franchises.

For more information on these products, please visit www.cmegroup.com/sofrairtrf.com. 

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, Globex, and E-mini are trademarks of Chicago Mercantile Exchange 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 is a trademark of BrokerTec Americas LLC and EBS is a trademark of EBS Group LTD. The S&P 500 Index is a product of S&P Dow Jones Indices LLC ("S&P DJI"). "S&P®", "S&P 500®", "SPY®", "SPX®", US 500 and The 500 are trademarks of Standard & Poor's Financial Services LLC; Dow Jones®, DJIA® and Dow Jones Industrial Average are service and/or trademarks of Dow Jones Trademark Holdings LLC. These trademarks have been licensed for use by Chicago Mercantile Exchange Inc. Futures contracts based on the S&P 500 Index are not sponsored, endorsed, marketed, or promoted by S&P DJI, and S&P DJI makes no representation regarding the advisability of investing in such products. All other trademarks are the property of their respective owners.

CME-G

 

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SOURCE CME Group

FAQ

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When will CME launch the Adjusted Interest Rate S&P 500 Total Return (SOFR) Futures?

CME Group plans to launch the Adjusted Interest Rate S&P 500 Total Return (SOFR) Futures on August 26, 2024, pending regulatory review.

What is the main difference between the new AIR S&P 500 Total Return futures and the existing ones?

The new AIR S&P 500 Total Return futures will use the Secured Overnight Financing Rate (SOFR) as the embedded rate instead of the current Effective Federal Funds Rate (EFFR).

What is the year-to-date average daily volume for CME's existing AIR Total Return futures?

The year-to-date average daily volume for CME's existing AIR Total Return futures is 9,800 contracts, which is up more than 113% year-over-year.

What is the year-to-date average daily volume for CME Group SOFR futures?

CME Group SOFR futures have a year-to-date average daily volume of 3.3 million contracts.