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 Three-Month SOFR Futures CME Stirs 1,747,373 5,215,914
SR1 One-Month SOFR Futures CME Stirs 85,865 453,973
Trade Date: 24 May 2022 | FINAL

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 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:
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

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 March 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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