Secured Overnight Financing Rate (SOFR) Futures
Product OverviewThe Secured Overnight Financing Rate (SOFR) is a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. 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.
SOFR futures trading rises to all-time highs SOFR Issuance Tracker
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 | 145,652 | 497,558 |
| SR1 | One-Month SOFR Futures | CME | Stirs | 17,420 | 264,546 |
Navigate SOFR Resources
Related Products to SOFR futures
SOFR Curve
ICE LIBOR Fallbacks
Webinar: SOFR-based fallbacks for Eurodollars
What’s Next for ICE LIBOR and EDs
SOFR Use Cases
SOFR Education
Trading Resources
Based on extensive customer input, CME Group launched 3-Month and 1-Month SOFR futures contracts. 3-Month SOFR futures are consecutive quarterly contracts reflecting SOFR expectations between IMM dates, listings extend out 10 years, providing a term structure to fulfill risk management needs. 1-Month SOFR futures offers finer granularity for framing market expectations of future SOFR values over the nearest 13 calendar months.
| 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 39 March Quarterly months (Mar, Jun, Sep, Dec) | Nearest 13 calendar months |
| 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 | 6:10 Spread | 6:10 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 |
| Blue Trading Systems | SR3 | SR1 | SR3 | SR1 | SR1 | ZQ |
| Firm | Contact | Phone | Times | |
|---|---|---|---|---|
| Allston Trading | Kyle Petersen | +1 312 428 3401 | kpetersen@allstontrading.com | US Hours |
| Bank of America | Michael Jesionowski | +1 646 855 7840 | michael.jesionwski@baml.com | US Hours |
| Citigroup | Dan Leadbetter | +1 212 723 6393 | daniel.leadbetter@citi.com | US Hours |
| Geoffrey Weber | +1 212 723 6393 | geoffrey.weber@citi.com | US Hours | |
| Credit Suisse | Tom Morreale | +1 212 325 3337 | thomas.morreale@credit-suisse.com | US Hours |
| Avery Geehr | +1 212 325 3337 | avery.geehr@credit-suisse.com | US Hours | |
| DRW | Joe Meissner | +1 312-542-1090 | jmeissner@DRWHoldings.com | US Hours |
| Goldman Sachs | Richard Chambers | +1 202 902 2732 | richard.chambers@gs.com | US Hours |
| Tom Bowden | +1 212 357 5122 | thomas.bowden@gs.com | US Hours | |
| Chris Purdue | +1 212 357 2165 | chris.purdue@gs.com | US Hours | |
| JP Morgan | Dan Marks | +1 212 834 4589 | daniel.s.marks@jpmorgan.com | US Hours |
| Morgan Stanley | Joe Anderson | +1 212 761 3464 | joseph.d.anderson@morganstanley.com | US Hours |
| Scott Wynne | +1 212 761 2679 | scott.wynne@morganstanley.com | US Hours | |
| Nomura | Steve Licini | +1 212 667 2237 | steve.licini@nomura.com | US Hours |
| Nomura Tokyo | John Gorman | +813 6703 9401 or +1 800 440 8115 | John.gorman@nomura.com | APAC hours |
| TransMarket Group | Phillip Liou | +1 312 284 5744 | phillip.liou@transmarketgroup.com | US Hours |
| WH Trading | Patrick Lahey | +1 312 462 7437 | plahey@whtrading.com | US Hours |
- 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 ICE 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)
- Recognized by S&P Global Ratings as an “anchor money market reference rate”
- 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. Treasuries, 75% vs. Fed Funds, and 65% vs. Eurodollars (subject to change)
- Robust network of block market makers
- Trade alongside SOFR Swaps to offer the only holistic solution for trading SOFR
- The ARRC Paced Transition Plan, designed to create demand for SOFR rate risk and voluntary adoption, is proceeding well
- SOFR approved for hedge accounting by FASB, and accounting relief for reference rate reform was approved in November 2019 and finalized in March 2020
- Taxpayer relief announced by the US Department of the Treasury and IRS in October 2019
- Fallback consultations have progressed well
- ISDA published final results of its non-USD IBOR derivatives fallbacks consultation in December 2018, and results of its USD IBOR derivatives fallbacks consultation in September 2019
- ISDA finalized its’ work on pre-cessation triggers in May 2020
- ISDA has published results on final parameters for Benchmark Fallback Spread Adjustments in November 2019
- The ARRC published recommended fallback language for cash products, detail can be found at their Fallback Contract Language page
- April 2020, the Financial Stability Board (FSB) chaired by Randy Quarles (Federal Reserve Vice-Chair for Supervision) issued a statement highlighting the continued importance of supporting a smooth transition.
ARRC Resources
- Best Practices for Completing Transition From LIBOR
- Best Practices for Vendors' Transition to SOFR
- Spread Adjustment Methodology for Cash Products
- Buy-Side Checklist on Transition to SOFR
- Practical Implementation Checklist for SOFR Adoption
- Matrix and Comparison Chart on SOFR Floating Rate Notes Conventions
- White Paper on Using an Average of SOFR to Build an Adjustable-Rate Mortgage Product for Consumers
- A User's Guide to SOFR
Data as of January 31, 2020
Source: Bloomberg, compiled by CME Group for informational purposes. CME Group does not warrant the accuracy or completeness of the information.
© 2021 CME Group Inc. All rights reserved.