Based on extensive customer input, monthly and quarterly futures contracts on the Secured Overnight Financing Rate (SOFR) will launch on May 7, pending regulatory review.
Contract listings will comprise the nearest 7 calendar months for 1-Month futures and the nearest 20 March quarterly months for 3-Month futures.
The 1-Month SOFR futures strip will prove useful to market participants who seek finer granularity in framing market expectations of future SOFR values over the nearby 1-month to 7-month interval during which the front 3-Month contract becomes more set each day from daily SOFR fixings.
Gain insight into the Secured Overnight Financing Rate (SOFR) with our latest whitepaper, covering:
Eurodollar versus Fed Fund futures Intercommodity Spreads (ICS) have seen consistent streaming liquidity and increased trading since launched March 12.
Data through March 29, 2018, unless otherwise specified. *Reported as a 52-week moving average as of 3/14/18 with cash volumes sourced from NY FRB data. **Large OI Holders sourced from CFTC COT report.
Treasury futures notional volume as a percent of cash Treasury notes and bonds reached a record 100.6%* in Q1 2018, up from 56% in 2012, as investors increasingly turn to futures for liquid, capital-efficient, off-balance-sheet Treasury exposure.
Q1 2018 Treasury Records