CME Globex listed Intercommodity Spreads (ICS) on Short-term Interest Rate futures, including the Eurodollar vs. Fed Funds Spread and spreads involving SOFR futures, allow for easier and more efficient execution of a common trading strategy, reducing leg risk on executions and enabling the formation of spread liquidity. The Eurodollar vs. Fed Funds spread launched March 12, 2018, and a variety of SOFR spreads will be available upon the launch of SOFR Futures on May 7, 2018.
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.
