Secured Overnight Financing Rate (SOFR) Futures

Product Overview

SOFR futures trade alongside highly liquid Eurodollar, Fed Fund and Treasury futures to offer enhanced spread trading capabilities via CME Globex intercommodity spreads and capital efficiencies through margin offsets.

SOFR Futures Trade Data

The SOFR product strip consists of contracts with varying granularity and expiry dates, but with the same underlying, so volume and open interest should be considered in aggregate for SR1 and SR3.

Globex Product Name Exchange Subgroup Volume Open Interest
SR1 One-Month SOFR Futures CME Stirs 680 27,153
SR3 Three-Month SOFR Futures CME Stirs 6,045 13,426
Trade Date: 16 Oct 2018 | FINAL

Contract Specifications

Based on extensive customer input, CME Group launched 3-Month and 1-Month SOFR futures contracts. The 1-Month SOFR strip futures proves useful to 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.

Download full contract specifications

  3-Month SOFR Futures 1-Month SOFR Futures
Contract Unit Compounded daily Secured Overnight Financing Rate (“SOFR”) interest during contract Reference Quarter, such that each basis point per annum of interest = $25 per contract. Average daily Secured Overnight Financing Rate (“SOFR”) interest during futures contract delivery month, such that each basis point per annum of interest is worth $41.67 per futures contract.
Price Basis Contract-grade IMM Index: 100 minus R  Contract-grade IMM Index: 100 minus R 
Contract Size $25 per basis point per annum $41.67 per basis point per annum
Minimum Price Fluctuation Nearby Delivery Month:  0.0025 IMM Index points (¼ basis point per annum) equal to $6.25 per contract

All Other Delivery Months: 0.005 IMM Index points (½ basis point per annum) equal to $12.50 per contract
Nearby Delivery Month:  0.0025 IMM Index points (¼ basis point per annum) equal to $10.4175 per contract

All Other Delivery Months: 0.005 IMM Index points (½ basis point per annum) equal to $20.835 per contract
Delivery Months Nearest 20 March Quarterly months (Mar, Jun, Sep, Dec) Nearest 7 calendar months

Vendor Codes

 

3-Month
SOFR

1-Month SOFR

3-Month

SOFR vs. Eurodollar

1-Month SOFR

vs. 30-Day Fed Funds

1-Month SOFR

vs. 3-Month SOFR

30-Day Fed Funds

vs. 3-Month SOFR

Product Type

Outright

Outright

1:1 Spread

1:1 Spread

10:6 Spread

10:6 Spread

CME Globex

SR3

SR1

SR3

SR1

SR1

ZQ

Bloomberg

SFR Comdty 

SER Comdty 

SFRED

SERFF Comdty

SERSFR Comdty

FFSFR Comdty

Thomson Reuters Globex Chain RICs

0#1SRA:

0#1S1R:

0#1SRA-ED:

0#1S1R-FF:

0#1S1R-S1R-SRA:

0#1FF-FF-SRA:

Thomson Reuters Composite Chain RICs

0#SRA:

0#S1R:

0#SRA-ED:

0#S1R-FF:

0#S1R-S1R-SRA:

0#FF-FF-SRA:

TT

SR3

SR1

SR3

SR1

SR1

ZQ

CQG

SR3

SR1

SGI0

SZI0

SRWI1

ZSWI1

FIS/SunGard

SR3

SR1

SR3

SR1

SR1

ZQ

Fidessa

SR3

SR1

SR3

SR1

SR1

ZQ

ION (Pats & FFastFill)

SR3

SR1

Pending

Pending

Pending

Pending

Broadway Technology

SR3

SR1

Pending

Pending

Pending

Pending

Stellar

SR3

SR1

SR3-GE     

SR1-ZQ

SR1-SR3

ZQ-SR3

DTN

@SR3

@SR1

Pending

Pending

Pending

Pending

Itiviti SR3

SR1

Pending

Pending

Pending

Pending

About the Rate: Why SOFR Matters

  • Endorsed by the Fed-sponsored Alternative Reference Rates Committee (ARRC) to be used in the USD marketplace
  • Published by the Federal Reserve Bank of New York in cooperation with the U.S. Office of Financial Research since April 3, 2018
  • Financially distinct but highly correlated with existing money market rates such as LIBOR and Effective Federal Funds Rate (EFFR)
  • Underpinned by the U.S. Treasury overnight repurchase (repo) market, for which the pool of eligible transactions is ~$750 billion per day
  • Calculated as a transaction-volume-weighted median repo rate
  • Data sourced from tri-party repo data from Bank of New York Mellon (BNYM), and cleared bilateral and GCF Repo data from the Depository Trust & Clearing Corporation (DTCC)

SOFR Ecosystem Developments

  • The ARRC Paced Transition Plan, designed to create demand for SOFR rate risk and voluntary adoption, is proceeding well
  • SOFR futures are developing rapidly, providing increased price discovery along the SOFR interest rate curve
  • 7 institutions have issued a total of $10.9B notional in floating rate instruments tied to SOFR
  • S&P recognized SOFR as an “anchor money market reference rate”
  • FASB approved SOFR OIS for hedge accounting effective for fiscal years beginning after December 15, 2018, and interim periods within those fiscal years.
  • Compression based ideas for SOFR adoption are under consideration by industry groups
  • On September 20, the ARRC released a new FAQ to build on efforts to engage and educate market participants
  • ARRC and ISDA working groups are progressing on fallback procedures for both cash and derivatives markets. ISDA issued derivatives market fallback consultation on July 12. ARRC issued cash market fallback consultation on September 24
  • CME Cleared OTC swaps launched October 1 with SOFR discounting and price alignment based on feedback from buy side and global banks

Why Trade CME SOFR Futures

  • Futures are reliable indicator of market expectations of SOFR along the curve
  • Leading source of liquidity, with 1 basis point wide markets out 18 months
  • Easy spread trading against Eurodollar and Fed Fund futures via CME Globex intercommodity spreads
  • Margin efficiencies against Eurodollar, Fed Fund and Treasury futures
  • Trade alongside SOFR Swaps to offer the only holistic solution for trading SOFR

SOFR Issuance

Issue Date

Issuer

Notional

Tenor (years)

07/26/18

Fannie Mae

$6,000,000,000

1.5, 0.5, 1.0

08/14/18

World Bank

$1,000,000,000

2.0

08/20/18

Credit Suisse AG/NY

$100,000,000

0.5

08/22/18

Barclays

$525,000,000

0.25

08/30/18

MetLife

$1,000,000,000

2.0

09/18/18

Wells Fargo

$1,000,000,000

1.5

09/20/18

Triborough Bridge & Tunnel

$107,280,000

13.5

09/20/18

Wells Fargo

$125,000,000

1.0

10/05/18 Credit Suisse $1,056,000,000 0.5, 1.0

 

Total

$10,913,280,000

 

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