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One-Month SOFR Margins

CME SOFR futures offer the leading source of price discovery and liquidity on the Secured Overnight Financing Rate (SOFR), a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. One-Month SOFR futures (SR1) are cash settled and based on the arithmetic average of daily SOFR values during the contract delivery month. 

Exchange Asset Class Spread Products Type Ratio Side Start Period End Period Credit
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 02/2021 06/2021 70%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 09/2020 09/2020
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 07/2021 06/2023 70%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 10/2020 10/2020
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 09/2020 10/2020 70%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 07/2020 07/2020
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 09/2020 09/2020 70%
SR3 - THREE-MONTH SOFR FUTURES 5 B 12/2020 03/2021
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 07/2020 08/2020 70%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 08/2020 08/2020
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 08/2020 08/2020 70%
SR3 - THREE-MONTH SOFR FUTURES 5 B 09/2020 09/2020
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 11/2020 07/2021 70%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2021 03/2022
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 07/2021 06/2023 65%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 09/2020 09/2020
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 11/2020 01/2021 65%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 08/2020 08/2020
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 11/2020 01/2021 65%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 07/2020 07/2020
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 1 B All dates 65%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 11/2020 07/2021
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 1 B All dates 65%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 11/2020 07/2021
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 1 B All dates 65%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 10/2020 10/2020
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 10/2020 10/2020 65%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2021 03/2022
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 11/2020 07/2021 65%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2023 03/2024
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 10/2020 10/2020 65%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2022 03/2023
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 11/2020 07/2021 65%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2022 03/2023
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 07/2021 06/2023 60%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 08/2020 08/2020
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 02/2021 06/2021 60%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 08/2020 08/2020
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 02/2021 06/2021 60%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 07/2020 07/2020
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 07/2020 08/2020 60%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 11/2020 07/2021
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 09/2020 09/2020 60%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2021 03/2022
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 08/2020 08/2020 60%
SR3 - THREE-MONTH SOFR FUTURES 5 B 12/2020 03/2021
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 10/2020 10/2020 60%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2023 03/2024
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 11/2020 07/2021 60%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2024 12/2029
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 07/2020 08/2020 60%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 07/2020 07/2020
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 07/2020 07/2020 60%
SR3 - THREE-MONTH SOFR FUTURES 5 B 09/2020 09/2020
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 07/2020 07/2020 60%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2020 06/2020
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 B 03/2020 03/2021 55%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 11/2020 07/2021
CBT INTEREST RATES LIC - 3-YEAR ERIS SWAP FUTURES Delta 4 B 03/2021 03/2021 55%
CME SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 09/2019 12/2019 55%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 10/2020 10/2020
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 09/2019 12/2019 55%
CME SR1 - ONE-MONTH SOFR FUTURES 1 B 11/2020 07/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2026 06/2027 55%
SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2027 06/2028 55%
SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2028 06/2029 55%
SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2029 06/2030 55%
SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2029 06/2030 55%
SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2027 06/2028 55%
SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2028 06/2029 55%
SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2026 06/2027 55%
SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2025 06/2026 55%
SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2025 06/2026 55%
SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2024 06/2025 55%
SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2024 06/2025 55%
SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2023 06/2024 55%
SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2023 06/2024 55%
SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 1 B All dates 55%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 09/2020 09/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2022 06/2023 55%
SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2022 06/2023 55%
SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2021 06/2022 55%
SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2021 06/2022 55%
SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 10/2020 06/2021 55%
SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 10/2020 06/2021 55%
SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 09/2020 09/2020 55%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2022 03/2023
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 10/2020 10/2020 55%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2024 12/2029
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 50%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 09/2020 09/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 50%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 10/2020 10/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 50%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 11/2020 07/2021
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 50%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 11/2020 07/2021
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 03/2019 06/2019 50%
CME SR1 - ONE-MONTH SOFR FUTURES 1 B 11/2020 07/2021
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 03/2019 06/2019 50%
CME SR1 - ONE-MONTH SOFR FUTURES 1 B 10/2020 10/2020
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 07/2021 06/2023 50%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 07/2020 07/2020
CBT INTEREST RATES LIT - 2-YEAR ERIS SWAP FUTURE Delta 2 B 09/2020 03/2021 50%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 11/2020 07/2021
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 09/2018 12/2018 50%
CME SR1 - ONE-MONTH SOFR FUTURES 1 B 10/2020 10/2020
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 09/2018 12/2018 50%
CME SR1 - ONE-MONTH SOFR FUTURES 1 B 11/2020 07/2021
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 09/2020 09/2020 50%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2024 12/2029
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 09/2020 09/2020 50%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2023 03/2024
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 07/2020 09/2020 50%
SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 07/2020 09/2020 50%
SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 08/2020 08/2020 50%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2021 03/2022
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 03/2018 06/2018 50%
CME SR1 - ONE-MONTH SOFR FUTURES 1 B 09/2020 09/2020
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 03/2018 06/2018 50%
CME SR1 - ONE-MONTH SOFR FUTURES 1 B 10/2020 10/2020
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 07/2020 07/2020 50%
SR3 - THREE-MONTH SOFR FUTURES 5 B 12/2020 03/2021
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 09/2017 12/2017 50%
CME SR1 - ONE-MONTH SOFR FUTURES 1 B 09/2020 09/2020
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 03/2017 06/2017 50%
CME SR1 - ONE-MONTH SOFR FUTURES 1 B 09/2020 09/2020
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 8 B 11/2020 07/2021 45%
CBT UBE - LONG TERM U.S. TREASURY BOND FUTURE 1 A All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 45%
CME SR1 - ONE-MONTH SOFR FUTURES 5 B 09/2020 09/2020
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 45%
CME SR1 - ONE-MONTH SOFR FUTURES 5 B 11/2020 07/2021
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 45%
CME SR1 - ONE-MONTH SOFR FUTURES 5 B 10/2020 10/2020
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 2 B 09/2020 09/2020 45%
CBT TN - ULTRA 10-YEAR U S TREASURY NOTE FUT 1 A All dates
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 2 B 10/2020 10/2020 45%
CBT TN - ULTRA 10-YEAR U S TREASURY NOTE FUT 1 A All dates
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 2 B 11/2020 07/2021 45%
CBT TN - ULTRA 10-YEAR U S TREASURY NOTE FUT 1 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 45%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 09/2020 09/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 45%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 10/2020 10/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 45%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 11/2020 07/2021
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 45%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 08/2020 08/2020
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 09/2018 12/2018 45%
CME SR1 - ONE-MONTH SOFR FUTURES 1 B 09/2020 09/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 10/2020 06/2021 45%
SR1 - ONE-MONTH SOFR FUTURES 3 A 09/2020 09/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 10/2020 06/2021 45%
SR1 - ONE-MONTH SOFR FUTURES 3 A 10/2020 10/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 07/2020 09/2020 45%
SR1 - ONE-MONTH SOFR FUTURES 3 A 09/2020 09/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 10/2020 06/2021 45%
SR1 - ONE-MONTH SOFR FUTURES 3 A 08/2020 08/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 07/2020 09/2020 45%
SR1 - ONE-MONTH SOFR FUTURES 3 A 10/2020 10/2020
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 08/2020 08/2020 45%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2024 12/2029
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 08/2020 08/2020 45%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2022 03/2023
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 08/2020 08/2020 45%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2023 03/2024
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 07/2020 09/2020 45%
SR1 - ONE-MONTH SOFR FUTURES 3 A 08/2020 08/2020
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 03/2018 06/2018 45%
CME SR1 - ONE-MONTH SOFR FUTURES 1 B 11/2020 07/2021
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 07/2020 07/2020 45%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2021 03/2022
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 09/2017 12/2017 45%
CME SR1 - ONE-MONTH SOFR FUTURES 1 B 10/2020 10/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 07/2020 09/2020 45%
SR1 - ONE-MONTH SOFR FUTURES 3 A 07/2020 07/2020
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 09/2020 10/2020 85%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 09/2020 09/2020
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 11/2020 01/2021 85%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 11/2020 07/2021
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 02/2021 06/2021 85%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 11/2020 07/2021
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 09/2020 10/2020 85%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 10/2020 10/2020
CBT INTEREST RATES LIY - 10-YEAR ERIS SWAP FUTURES Delta 1 B 12/2019 03/2021 40%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 11/2020 07/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2029 06/2030 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 09/2020 09/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2027 06/2028 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 09/2020 09/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2026 06/2027 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 09/2020 09/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2028 06/2029 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 09/2020 09/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2029 06/2030 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 10/2020 10/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2026 06/2027 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 10/2020 10/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2028 06/2029 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 10/2020 10/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2027 06/2028 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 10/2020 10/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2025 06/2026 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 09/2020 09/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2029 06/2030 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 08/2020 08/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2028 06/2029 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 08/2020 08/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2027 06/2028 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 08/2020 08/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2026 06/2027 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 08/2020 08/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2025 06/2026 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 10/2020 10/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2024 06/2025 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 09/2020 09/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2025 06/2026 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 08/2020 08/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2024 06/2025 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 10/2020 10/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2024 06/2025 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 08/2020 08/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2023 06/2024 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 09/2020 09/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2023 06/2024 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 10/2020 10/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2021 06/2022 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 09/2020 09/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2022 06/2023 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 09/2020 09/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2023 06/2024 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 08/2020 08/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2022 06/2023 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 10/2020 10/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2021 06/2022 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 10/2020 10/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2022 06/2023 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 08/2020 08/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2021 06/2022 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 08/2020 08/2020
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 09/2018 12/2018 40%
CME SR1 - ONE-MONTH SOFR FUTURES 1 B 08/2020 08/2020
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 1 B All dates 40%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 08/2020 08/2020
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 03/2018 06/2018 40%
CME SR1 - ONE-MONTH SOFR FUTURES 1 B 08/2020 08/2020
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 09/2020 09/2020 40%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2020 06/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 10/2020 06/2021 40%
SR1 - ONE-MONTH SOFR FUTURES 3 A 07/2020 07/2020
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 11/2020 07/2021 40%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2020 06/2020
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 10/2020 10/2020 40%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2020 06/2020
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 07/2020 07/2020 40%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2023 03/2024
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 07/2020 07/2020 40%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2022 03/2023
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 07/2020 07/2020 40%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2024 12/2029
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 08/2020 08/2020 40%
SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2020 06/2020
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 09/2017 12/2017 40%
CME SR1 - ONE-MONTH SOFR FUTURES 1 B 11/2020 07/2021
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 09/2017 12/2017 40%
CME SR1 - ONE-MONTH SOFR FUTURES 1 B 08/2020 08/2020
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 03/2017 06/2017 40%
CME SR1 - ONE-MONTH SOFR FUTURES 1 B 10/2020 10/2020
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 03/2017 06/2017 40%
CME SR1 - ONE-MONTH SOFR FUTURES 1 B 08/2020 08/2020
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 8 B 09/2020 09/2020 35%
CBT UBE - LONG TERM U.S. TREASURY BOND FUTURE 1 A All dates
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 8 B All dates 35%
CBT UBE - LONG TERM U.S. TREASURY BOND FUTURE 1 A All dates
CBT INTEREST RATES LIY - 10-YEAR ERIS SWAP FUTURES Delta 1 B 12/2019 03/2021 35%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 10/2020 10/2020
CBT INTEREST RATES LIW - 5-YEAR ERIS SWAP FUTURES Delta 5 B 09/2020 12/2020 35%
CME SR1 - ONE-MONTH SOFR FUTURES 4 A 10/2020 10/2020
CBT INTEREST RATES LIW - 5-YEAR ERIS SWAP FUTURES Delta 5 B 09/2020 12/2020 35%
CME SR1 - ONE-MONTH SOFR FUTURES 4 A 11/2020 07/2021
CBT INTEREST RATES LIW - 5-YEAR ERIS SWAP FUTURES Delta 5 B 03/2021 03/2021 35%
CME SR1 - ONE-MONTH SOFR FUTURES 4 A 10/2020 10/2020
CBT INTEREST RATES LIW - 5-YEAR ERIS SWAP FUTURES Delta 5 B 03/2021 03/2021 35%
CME SR1 - ONE-MONTH SOFR FUTURES 4 A 11/2020 07/2021
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 09/2019 12/2019 35%
CME SR1 - ONE-MONTH SOFR FUTURES 1 B 09/2020 09/2020
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 09/2019 12/2019 35%
CME SR1 - ONE-MONTH SOFR FUTURES 1 B 08/2020 08/2020
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 03/2019 06/2019 35%
CME SR1 - ONE-MONTH SOFR FUTURES 1 B 09/2020 09/2020
CBT INTEREST RATES LIT - 2-YEAR ERIS SWAP FUTURE Delta 2 B 09/2020 03/2021 35%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 09/2020 09/2020
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 03/2019 06/2019 35%
CME SR1 - ONE-MONTH SOFR FUTURES 1 B 08/2020 08/2020
CBT INTEREST RATES LIT - 2-YEAR ERIS SWAP FUTURE Delta 2 B 09/2020 03/2021 35%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 10/2020 10/2020
CBT INTEREST RATES LIT - 2-YEAR ERIS SWAP FUTURE Delta 2 B 09/2020 03/2021 35%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 08/2020 08/2020
CBT INTEREST RATES LIY - 10-YEAR ERIS SWAP FUTURES Delta 1 B 12/2019 03/2021 30%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 09/2020 09/2020
CBT INTEREST RATES LIY - 10-YEAR ERIS SWAP FUTURES Delta 1 B 12/2019 03/2021 30%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 08/2020 08/2020
CBT INTEREST RATES LIB - 7-YEAR ERIS SWAP FUTURES Delta 2 B 03/2019 03/2021 30%
CME SR1 - ONE-MONTH SOFR FUTURES 3 A 09/2020 09/2020
CBT INTEREST RATES LIB - 7-YEAR ERIS SWAP FUTURES Delta 2 B 03/2019 03/2021 30%
CME SR1 - ONE-MONTH SOFR FUTURES 3 A 10/2020 10/2020
CBT INTEREST RATES LIB - 7-YEAR ERIS SWAP FUTURES Delta 2 B 03/2019 03/2021 30%
CME SR1 - ONE-MONTH SOFR FUTURES 3 A 11/2020 07/2021
CBT INTEREST RATES LIB - 7-YEAR ERIS SWAP FUTURES Delta 2 B 03/2019 03/2021 30%
CME SR1 - ONE-MONTH SOFR FUTURES 3 A 08/2020 08/2020
CBT INTEREST RATES LIW - 5-YEAR ERIS SWAP FUTURES Delta 5 B 09/2020 12/2020 30%
CME SR1 - ONE-MONTH SOFR FUTURES 4 A 09/2020 09/2020
CBT INTEREST RATES LIW - 5-YEAR ERIS SWAP FUTURES Delta 5 B 03/2021 03/2021 30%
CME SR1 - ONE-MONTH SOFR FUTURES 4 A 09/2020 09/2020
CBT INTEREST RATES LIW - 5-YEAR ERIS SWAP FUTURES Delta 5 B 09/2020 12/2020 30%
CME SR1 - ONE-MONTH SOFR FUTURES 4 A 08/2020 08/2020
CBT INTEREST RATES LIW - 5-YEAR ERIS SWAP FUTURES Delta 5 B 03/2021 03/2021 30%
CME SR1 - ONE-MONTH SOFR FUTURES 4 A 08/2020 08/2020
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 B 03/2020 03/2021 30%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 09/2020 09/2020
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 B 03/2020 03/2021 30%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 10/2020 10/2020
CBT INTEREST RATES LIC - 3-YEAR ERIS SWAP FUTURES Delta 4 B 03/2021 03/2021 30%
CME SR1 - ONE-MONTH SOFR FUTURES 3 A 09/2020 09/2020
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 B 03/2020 03/2021 30%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 08/2020 08/2020
CBT INTEREST RATES LIC - 3-YEAR ERIS SWAP FUTURES Delta 4 B 03/2021 03/2021 30%
CME SR1 - ONE-MONTH SOFR FUTURES 3 A 10/2020 10/2020
CBT INTEREST RATES LIC - 3-YEAR ERIS SWAP FUTURES Delta 4 B 03/2021 03/2021 30%
CME SR1 - ONE-MONTH SOFR FUTURES 3 A 08/2020 08/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2028 06/2029 30%
SR1 - ONE-MONTH SOFR FUTURES 3 A 07/2020 07/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2026 06/2027 30%
SR1 - ONE-MONTH SOFR FUTURES 3 A 07/2020 07/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2027 06/2028 30%
SR1 - ONE-MONTH SOFR FUTURES 3 A 07/2020 07/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2029 06/2030 30%
SR1 - ONE-MONTH SOFR FUTURES 3 A 07/2020 07/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2025 06/2026 30%
SR1 - ONE-MONTH SOFR FUTURES 3 A 07/2020 07/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2024 06/2025 30%
SR1 - ONE-MONTH SOFR FUTURES 3 A 07/2020 07/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2023 06/2024 30%
SR1 - ONE-MONTH SOFR FUTURES 3 A 07/2020 07/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2021 06/2022 30%
SR1 - ONE-MONTH SOFR FUTURES 3 A 07/2020 07/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 09/2022 06/2023 30%
SR1 - ONE-MONTH SOFR FUTURES 3 A 07/2020 07/2020
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 1 A 03/2017 06/2017 30%
CME SR1 - ONE-MONTH SOFR FUTURES 1 B 11/2020 07/2021
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 07/2021 06/2023 80%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 11/2020 07/2021
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 11/2020 01/2021 80%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 10/2020 10/2020
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 09/2020 10/2020 80%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 11/2020 07/2021
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 10/2020 10/2020 80%
SR3 - THREE-MONTH SOFR FUTURES 5 B 09/2020 09/2020
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 11/2020 01/2021 75%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 09/2020 09/2020
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 02/2021 06/2021 75%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 10/2020 10/2020
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 09/2020 10/2020 75%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 08/2020 08/2020
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 07/2020 08/2020 75%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 09/2020 09/2020
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 09/2020 09/2020 75%
SR3 - THREE-MONTH SOFR FUTURES 5 B 09/2020 09/2020
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 07/2020 08/2020 75%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 10/2020 10/2020
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 11/2020 07/2021 75%
SR3 - THREE-MONTH SOFR FUTURES 5 B 09/2020 09/2020
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 11/2020 07/2021 75%
SR3 - THREE-MONTH SOFR FUTURES 5 B 12/2020 03/2021
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 10/2020 10/2020 75%
SR3 - THREE-MONTH SOFR FUTURES 5 B 12/2020 03/2021