• Availability of an additional Three-Month Eurodollar futures and Three-Month SOFR futures intercommodity spread (SED) on CME Globex - Effective January 10, 2022

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 21-417
      • Notice Date
      • 12 November 2021
      • Effective Date
      • 10 January 2022

    • Effective Sunday, January 9, 2022 for trade date Monday, January 10, 2022, CME, will permit an additional intercommodity spread between the Three-Month Eurodollar Futures (Globex code GE, clearing code ED) and Three-Month SOFR Futures (Globex and clearing code SR3) on CME Globex commencing with the September 2023 contract month. The new intercommodity
      spread will use Globex code SED.

      The traded SED price represents the differential above (or below) the ISDA spread adjustment.  The differential price increment for SED will be 0.001 index points (0.1 basis point). Buying  SED will result in a buy for the SR3 future and a sell for the ED future.

      Click here for the full text of the advisory

      21-417

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