Exchange Recap
CME Group: Interest Rates Recap - May 2018

May 2018

Strong Client Testing in New Release Ahead of May 7 SOFR Launch

Industry readiness for SOFR futures is ramping up ahead of the May 7, 2018 launch with significant client testing in New Release, more than 10 confirmed market makers, and a growing list of ISVs supporting both outrights and spreads.


Industry readiness for SOFR futures is ramping up ahead of the May 7, 2018 launch with significant client testing in New Release, more than 10 confirmed market makers, and a growing list of ISVs supporting both outrights and spreads.

  3-Month SOFR 1-Month SOFR
CME Globex SR3 SR1
Reuters Globex Chain RICs 0#1SRA: 0#1S1R:
Reuters Composite Chain RICs 0#SRA: 0#S1R:
FIS/SunGard SR3 SR1
Fidessa SR3 SR1
Bloomberg SFR Comdty SER Comdty
ION (Pats & FFastFill) SR3 SR1
Broadway Technology SR3 SR1

May 7 SOFR launch pending regulatory review.

Visit the SOFR homepage for a full list of codes, including those for SOFR spreads, which will play a key role in the development of liquidity in SOFR futures.

SOFR Hompage

SOFR Futures Settlement Calculation

Get a better understanding of the settlement process for One-Month and Three-Month SOFR futures, including:

  • Final settlement price calculation
  • Hypothetical examples
  • Naming conventions
  • Holiday calendars.

Read the whitepaper

New SOFR Product Overview

Find everything you need to know about SOFR, including its background, futures contract design, spreads, benchmark comparisons, Cleared OTC SOFR swaps and more.


Rates Market Outlook

Blu Putnam, Chief Economist

The Fed appears set to raise rates at its June 12-13, FOMC meeting, and Federal Funds futures agree, showing a greater than 90 percent probability (see the CME Fed Watch Tool here). Incremental rises in core inflation and hourly wages, coupled with low unemployment, support the case for an increase. Whether the Fed raises rates two more times in the second half of 2018 or only once depends critically on (1) further upward pressure on core inflation and (2) the shape of the yield curve.

With respect to inflation, as the Fed approaches its 2% annual core inflation target, a neutral federal funds rate target range would bracket the prevailing inflation rate. The constraint is that the Fed will want to avoid rate increases if the yield curve flattens too much – which is a possible indicator the Fed is tightening too fast and could trigger a recession, as it has in the past.

With increased Treasury supply as federal budget deficits balloon, rising inflation expectations, and less buying by the Fed and foreign central banks, however, Treasury 10-Year Note yields have been rising. The rise in Treasury security yields is providing the Fed some small additional room to tighten.

CME FedWatch Rate Hike Probabilities*

  150-175 bps 175-200 bps 200-225 bps 225-250 bps
6/13 0.0% 90.6% 9.2% 0.2%
9/26 0.0% 17.7% 70.4% 11.3%
12/19 0.0% 7.9% 40.4% 41.1%

Probabilities as of April 30, 8:00 am CT

CME FedWatch Tool


Data through April 30, 2018, unless otherwise specified / *Data as of April 30, 2018

View the current version and an archive of the Rates Recap online at

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