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Spreading SOFR, FF and ED Futures

The launch of CME One-Month SOFR futures and Three-Month SOFR futures on 7 May 2018 will bring several new inter-commodity spreads (ICS) to the exchange’s short-term interest rate (STIR) futures offerings. This note examines four of these new ICS, each of which will be available at launch as predefined ICS on the CME Globex electronic trading platform.

• One-Month SOFR/30-Day Federal Funds
• Three-Month SOFR/Three-Month Eurodollar
• One-Month SOFR/Three-Month SOFR
• 30-Day Federal Funds/Three-Month SOFR

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