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. 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.

Daily SOFR-Eurodollar Market Update
SOFR Issuance Tracker

SOFR Futures Trade Data

CME Group lists 39 quarterly Three-Month SOFR futures which constitute the primary contracts with an additional 13 One-Month futures providing enhanced granularity in a supporting and complementary manner.

Globex Product Name Exchange Subgroup Volume Open Interest
SR3 Options on Three-Month SOFR Futures CME Stirs 263,694 8,263,108
SR3 Three-Month SOFR Futures CME Stirs 1,394,011 6,856,617
S0 One-Year Mid-Curve Options on Three-Month SOFR Futures CME Stirs 83,001 1,272,983
SR1 One-Month SOFR Futures CME Stirs 57,830 571,975
S2 Two-Year Mid-Curve Options on Three-Month SOFR Futures CME Stirs 3,040 163,390
S3 Three-Year Mid-Curve Options on Three-Month SOFR Futures CME Stirs 5,850 72,451
Trade Date: 12 Aug 2022 | PRELIMINARY

SOFR Futures Contract Specifications

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.

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

All contract months with four months or less until last day of trading (as defined in Rulebook section 46002.C): 0.0025 IMM Index points (¼ basis point per annum) = $6.25 

All other contract months: 0.005 IMM Index points (½ basis point per annum) = $12.50

Min Final Settle Fluctuation: 0.0001 IMM Index points

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

SOFR 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 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
  CME Globex Codes
(As of January 2022)
White Pack SR3:AB 01Y H2
Red Pack SR3:AB 01Y H3
Green Pack SR3:AB 01Y H4
Blue Pack SR3:AB 01Y H5
Gold Pack SR3:AB 01Y H6
2Y Bundle SR3:AB 02Y H2
3Y Bundle SR3:AB 03Y H2
4Y Bundle SR3:AB 04Y H2
5Y Bundle SR3:AB 05Y H2
  CME Globex / Open Outcry Bloomberg CQG Reuters
Globex RIC
Reuters Composite RIC TT
Options on 3-Month SOFR futures      
Standard Quarterly/Serial SR3 SFR SOFRSR3 1SRA SRA SR3
1-Yr Mid-Curve S0 0Q SOFRS0 1SN SN S0
2-Yr Mid-Curve S2 2Q SOFRS2 1SL SL S2
3-Yr Mid-Curve S3 3Q SOFRS3 1SQ SQ S3
4-Yr Mid-Curve S4 4Q SOFRS4 1SH SH S4
5-Year Mid-Curve S5 5Q SOFRS5 1SE SE S5
Weekly 1-Yr Mid-Curve S01 - S05 SOE SOFRS01 - SOFRS05 1SN1W - 1SN5W SN1W - SN5W S01 - S05
Weekly 2-Yr Mid-Curve S21 - S25 SOT SOFRS21 - SOFRS25 1SL1W - 1SL5W SL1W - SL5W S21 - S25
Weekly 3-Yr Mid-Curve S31 - S35 SSO SOFRS31 - SOFRS35 1SQ1W - 1SQ5W SQ1W - SQ5W S31 - S35
3-Mo Mid-Curve TS2 SRA SOFRTS2 1T2S T2S TS2
6-Mo Mid-Curve TS3 SRR SOFRTS3 1TS TS TS3
9-Mo Mid-Curve TS4 SRW SOFRTS4 1T4S T4S TS4
Options on 1-Month SOFR futures      
Monthly SR1 / S10 SERKOC  ELEC Comdty* SOFRSR1* 1S1R S1R SR1

DTN: @SR1*
Fidessa, FIS Global, ION (Pats & FFastFill), and Itiviti (Orc & Tbricks): SR1
*Globex only

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 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”

Why Trade CME SOFR Futures?

  • Futures are a reliable indicator of market expectations of SOFR along the curve
  • Leading liquidity, with 1 tick wide markets out 5 years
  • Easy spread trading against Eurodollar and Fed Fund futures via CME Globex intercommodity spreads
  • Margin savings of up to 80% vs. Eurodollars, 75% vs. Fed Funds, and 70% vs. Treasuries (subject to change)
  • Robust network of block market makers
  • Trade alongside SOFR Swaps to offer the only holistic solution for trading SOFR
     

SOFR Issuance

Data as of July 31, 2022
Source: Bloomberg, compiled by CME Group for informational purposes. CME Group does not warrant the accuracy or completeness of the information.

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