Secured Overnight Financing Rate (SOFR) Futures

Product Overview

The Secured Overnight Financing Rate (SOFR) is a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities.1 CME SOFR futures are the leading source of SOFR price discovery, trading alongside deeply liquid Eurodollar, Fed Fund and Treasury futures to offer seamless spread trading and unmatched capital efficiencies through margin offsets.

Hedging Repo Exposure in the Treasury Basis with SOFR

Trading Money Markets Spreads with SOFR, FF and ED

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
SR3 Three-Month SOFR Futures CME Stirs 16,459 58,441
SR1 One-Month SOFR Futures CME Stirs 11,754 57,818
Trade Date: 18 Apr 2019 | PRELIMINARY

SOFR Futures 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

What is SOFR?

  • 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)

Why Trade CME SOFR Futures?

  • Futures are a 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 savings of up to 80% vs Eurodollars, 75% vs. Treasuries, and 65% vs Fed Funds
  • Robust network of block market makers
  • Trade alongside SOFR Swaps to offer the only holistic solution for trading SOFR

SOFR Ecosystem Developments

SOFR Issuance

22 institutions have issued over $87 billion notional in floating rate instruments tied to SOFR, including over $16 billion in each of the last two months.

Data as of April 15, 2019
Source: Bloomberg, compiled by CME Group for informational purposes. CME Group does not warrant the accuracy or completeness of the information.

SOFR Historical Fixings and Basis Spread Analytics

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