Based on extensive customer input, CME Group has launched 3-Month and 1-Month SOFR futures contracts. The 1-Month SOFR futures strip will prove useful to market 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.
SOFR Futures trade alongside highly-liquid Eurodollar, Fed Fund and Treasury futures to offer enhanced spread trading capabilities via CME Globex intercommodity spreads and capital efficiencies through margin offsets.
Endorsed by the Alternative Reference Rate Committee (ARRC) in June 2017, the Secured Overnight Financing Rate (SOFR) is a broad Treasuries overnight repo financing rate to be published by the Federal Reserve Bank of New York in cooperation with the U.S. Office of Financial Research starting April 3, 2018.
If you would like further information, please contact CME Group.