SOFR Futures Settlement Calculation
This note discusses final settlement price calculation, naming conventions, and holiday calendars for One-Month and Three-Month SOFR Futures.
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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.