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 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 16,363 284,515
SR3 Three-Month SOFR Futures CME Stirs 22,974 160,958
Trade Date: 18 Oct 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 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
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
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 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

38 institutions have issued $298 billion notional in floating rate instruments tied to SOFR, including over $130 billion in Q3 2019.

Data as of October 14, 2019
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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