CME Group has worked with market participants to develop a plan for transitioning price alignment and discounting for Swap futures from the daily Effective Federal Funds Rate (EFFR) to the Secured Overnight Financing Rates (SOFR).
Since MAC Swap Futures are physically delivered into an OTC Swap position, no exchange-supported adjustments are required to facilitate the transition to SOFR-based discounting:
As a result, please note that the market may begin to price MAC Swap futures assuming SOFR discounting beginning with the December 2020 contract.
Transition date: All Eris Swap futures contracts will continue to trade under EFFR discounting and price alignment through October 16, 2020. After the discounting transition (beginning trade date October 19, 2020), all Eris Swap futures contracts will be traded under SOFR discounting and price alignment. CME Group will process a cash adjustment to reverse out any PNL impacts associated with transitioning the discounting rate from EFFR to SOFR. Unlike the discounting transition for OTC Cleared Swaps, there will be no re-hedging exercise for Swap futures positions.
|10-Yr Eris Swap futures (LIYU19)||Fed Funds Discounted Price||SOFR Discounted Price||Contract Value Factor (CVF)||Net Position||Cash Adjustment ((FF Price - SOFR Price) * CVF) * Net Position|
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