Boasting a user base of 1,300+ global participants and volumes exceeding $1.5 trillion notional per day, Three-Month SOFR futures (SR3) offer the deepest centralized pool of liquidity, price discovery, and risk management on the Secured Overnight Financing Rate (SOFR), the USD risk-free reference rate which tracks the cost of borrowing cash overnight collateralized by Treasury securities.
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Features and benefits
Price discovery out 10 years
Quarterly contracts reflect SOFR expectations between IMM dates, with 39 consecutive listings to fulfill risk management needs out to 10 years.
The contracts are cash-settled and based on a business-day compounded SOFR per annum during the contract reference quarter.
Choice of 80 options expiries listed at any given time, ranging from one week to four years, for fine-tuning risk exposures.
Complemented by One-Month SOFR (SR1) futures
SR1 offers finer granularity for framing expectations of future SOFR values over the nearest 13 calendar months.
Explore this product in depth
Review contract highlights
$2,500 x contract-grade IMM Index
contract-grade IMM Index = 100 minus R
R = business-day compounded Secured Overnight Financing Rate (SOFR) per annum during contract Reference Quarter
Reference Quarter: For a given contract, interval from (and including) 3rd Wed of 3rd month preceding delivery month, to (and not including) 3rd Wed of delivery month. Points and fractions of points with par on the basis of 100 points
CME Globex: SR3
CME ClearPort: SR3
With 80 expirations listed at any given time, ranging from 1 week to 4 years, SOFR options offer unprecedented flexibility for fine tuning short-term interest rate exposures.
Trading SOFR within the STIR ecosystem
Trade Three-Month SOFR futures versus related Interest Rate products to manage basis risk, capture relative-value opportunities, and unlock cross-margin savings.
SOFR vs. Eurodollars
A 1:1 inter-commodity spread for managing LIBOR-SOFR basis risks with up to 85% margin offsets.
SOFR vs. BSBY
A capital-efficient proxy for trading credit spreads in a post-LIBOR world.
SOFR Packs and Bundles
Trade strips of consecutive contracts in a single transaction to create a “synthetic” term investment or to hedge OTC swaps.
SOFR and cleared swaps
Portfolio margining IRS with SOFR can offer margin savings of as high as 97% on popular convexity bias trades.
Margins offsets are subject to change based upon market conditions.
Transitioning from Eurodollars to SOFR
To ensure a seamless transition from Eurodollars to SOFR, CME Group has worked closely with market participants to develop and implement both robust SOFR-based fallbacks for Eurodollars as well as efficient trading mechanisms for shifting positions to SOFR prior to June 2023.
Eurodollar positions become SOFR positions post-June 2023
On March 29, 2021, CME Group officially amended the Eurodollar futures and options rulebook to include SOFR-based fallbacks (view SER).
Upon the cessation of 3-month USD ICE LIBOR in June 2023:
- All Eurodollar futures will be converted on a 1:1 basis into same month SR3 contracts with a price adjustment of 26.161bp. Conversion formula: SR3 futures assignment price = ED futures settlement price + 26.161 bps.
- All Eurodollar options will be converted on a 1:1 basis into same month/expiry with 25 bp higher price strike. Prices will be adjusted to account for the difference in movement of 25 bp in strike vs 26.161 bp fallback spread.
Two ways to proactively move Eurodollar (ED) positions to SOFR (SR3) ahead of June 2023
- Reduced-tick SR3-ED spreads
- Tradable in 0.1 bp increments around the ISDA fallback spread for 3M USD Libor
- Each spread trade simultaneously executes a buy (sell) in SR3 vs. a sell (buy) in Eurodollars at a spread equal to 26.16 + the traded price
- Available for same contract month ICS, Sep 2023 and beyond
- Listed on CME Globex under the ticker SED and SEAA<Comdty> on Bloomberg
- Executable as a block trade provided the sum of the legs meets the smaller of the threshold requirements for the underlying products
- Traditional SR3-ED inter-commodity spreads (ICS)
- Quoted in 0.25 bp increments for the nearest term SOFR vs. ED, and 0.50 bp for all others listed in this spread
- Listed as SOFR vs. ED on Globex (SR3Z2-EDZ2) and SFRED on Bloomberg
- Executable as a block trade provided the sum of the legs meets the larger of the threshold requirements for the underlying products
- One of the deepest pools of SOFR-based liquidity with ADV exceeding 250K contracts
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