CME To Launch SONIA Interest Rate Futures

Shanny Basar

CME Group, the world’s leading and most diverse derivatives marketplace, will launch Sterling Overnight Index Average (SONIA) futures on October 1, 2018, pending regulatory review.

CME Group will launch two new SONIA futures: a quarterly International Monetary Market (IMM) dated contract observing the recommended specifications of the Working Group on Sterling Risk Free Reference Rates; and a Bank of England Monetary Policy Committee (MPC) meeting dated contract. The MPC SONIA future is designed to meet the needs of market participants who require greater precision in managing exposure between the dates of the MPC meetings.

“Adding SONIA to our robust suite of futures provides clients a choice for how best to manage interest rate risk in their portfolios,” said Agha Mirza, CME Group Global Head of Interest Rate Products.  “Customers have told us that they value the unparalleled global distribution of CME Globex, the financial safeguards of CME Clearing, and our focus on client service.”

CME Group has been involved for several years in the global effort to incorporate alternative reference rates as risk management tools and launched the first transaction-based, US dollar interest rate SOFR futures in May 2018.  In the three months since launch, SOFR total volume has exceeded 200,000 contracts and has included 70 global market participants. Open interest has grown steadily to more than 27,000 contracts.

CME SONIA futures complement CME Group’s successful push into international fixed income markets through OTC Clearing. 24 currencies are supported for interest rate swap clearing. CME has a leading presence in several key emerging markets. Global customers benefit from the margin and capital efficiencies that these products provide.

CME SONIA futures will be listed by and subject to the rules of CME. Margin offsets against other short-term interest rate futures will be available at launch. Contract specifications and further information is available at cmegroup.com/sonia.

Source: CME

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