CFTC encourages the use of SOFR for ETD / XTD (EXchange Traded Derivatives) and makes 4 key statements:

1- Eurodollar futures and options are LIBOR contracts;

–> so they should be abandoned

2- SOFR futures trading volumes are growing rapidly, and SOFR futures exposures are larger than market participants realize, given the construction of LIBOR fallback language embedded in all Eurodollar futures contracts;

–> hence the concerns about liquidity are no longer relevant

3- Liquidity for LIBOR contracts could decline after end-2021;

–> in fact, a combination of the previous 2 points…. as Libor must go and liquidity transfers to SOFR, firms should be aware that they should not delay their switch lest they find themselves stuck in an illiquid market, which could happen very shortly

4- CME has created products to allow market participants to transfer risk from Eurodollar futures to SOFR futures in an efficient manner in advance of USD LIBOR’s cessation on June 30, 2023.

–> those are ICS (Inter-Commodity Spreads)


CFTC User Guide link: