As the transition from Eurodollars (ED) to SOFR accelerates, we've developed two new resources to help clients better navigate the transition:
Volatility in U.S. rates has not slowed down the transition to SOFR. Rather, adoption has accelerated across futures, options, and swaps.
All charts and data sourced from CME Group
With front-end yields surging and a number of curve pairs inverted, bond traders are increasingly looking to 3Y futures as a liquid source of hedging granularity, relative-value opportunity, and cost-effective execution (1/8 ticks):
Source: CME Group
Ahead of UMR Phase 6, buy-side institutions are increasingly turning to voluntary IRS clearing in non-mandated LatAm currencies.
Deep and established liquidity in CME's cleared swaps markets for Brazilian CDI IRS (BRL), Chilean Cámara IRS (CLP), and Colombian IBR OIS (COP) allow clients to quickly gain margin efficiencies and reduce credit exposure.
Data as of March 31, 2022, unless otherwise specified (20Y T-Bond data as of March 7)
*Subject to regulatory review