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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All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
