• SOFR / Eurodollars scanning-based spread to be introduced in SPAN on Wednesday June 01, 2022

      • To
      • Clearing Member Firms; Back Office Managers; Margin Managers; CME CORE Users; PC SPAN Users; Bookkeeping Software Providers
      • From
      • CME Clearing
      • #
      • 22-198
      • Notice Date
      • 18 May 2022
      • Effective Date
      • 01 June 2022

    • CME will introduce a scanning-based super-intercommodity spread between Three-Month Eurodollars (ED) and Three-Month SOFR (SR3) beginning with end-of-day production SPAN files on Wednesday June 01, 2022, to provide better margin efficiencies. This spread is now present in the SPAN files generated from CME’s “New Release” testing environment.

      Scanning-based super-intercommodity spreads are nothing new and many such spreads are currently contained in CME’s SPAN files. “Super” intercommodity spreads are evaluated prior to normal intracommodity spreads, and “scanning-based” spreading involves summing the scanning tier results across the two products while limiting the degree to which gains offset losses. Three-Month SOFR will be the “target” combined commodity of the new spread, so that if both ED and SR3 are present in the portfolio, the SR3 combined commodity will provide the combined risk of both.

      Click here for the full text of the advisory

      22-198

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