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.

SOFR futures accelerate ahead of discounting transition

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 42,957 317,662
SR1 One-Month SOFR Futures CME Stirs 22,564 170,023
Trade Date: 26 Oct 2020 | 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 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

SOFR Trading Resources

  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 Email 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

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 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
     

SOFR Ecosystem Developments

SOFR Issuance

  • Total SOFR-linked debt issuance: $792 billion
  • Notional outstanding: $495 billion

Data as of to September 30, 2020
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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