CME Three-month SOFR Futures
The primary liquidity pool for hedging USD short-term interest rates.
Three-month SOFR futures (SR3) are based on the Secured Overnight Financing Rate (SOFR), the benchmark for USD short-term interest rates. Each contract is priced as 100 minus the business-day compounded SOFR over the contract's Reference Quarter, which runs from the third Wednesday of the third month before the delivery month to the third Wednesday of the delivery month. The contract unit is $2,500 × the contract-grade IMM Index.
Supported by more than 7,000 institutional participants globally, Three-month SOFR futures and options trade over 5 million contracts a day on average, according to CME Group. This liquidity supports a wide range of linear and non-linear strategies across the forward curve, allowing users to target interest rate risk wherever it lies.
Strips of consecutive contracts can also be traded in a single transaction as SOFR packs and bundles to create a synthetic term position or to hedge OTC swaps.
Key Benefits
- Price Discovery Out 10 Years
- Quarterly contracts reflect SOFR expectations between IMM dates, with 39 consecutive listings to meet risk management needs out to 10 years.
- Quarterly contracts reflect SOFR expectations between IMM dates, with 39 consecutive listings to meet risk management needs out to 10 years.
- Expansive Liquidity
- Access deep liquidity along the forward curve and across a range of strategies, including outrights, spreads, butterflies, packs and bundles, and other multi-legged variations.
- Access deep liquidity along the forward curve and across a range of strategies, including outrights, spreads, butterflies, packs and bundles, and other multi-legged variations.
- Options Flexibility
- Fine-tune risk exposures with 80 options expiries listed at any given time, ranging from one week to four years.
- Fine-tune risk exposures with 80 options expiries listed at any given time, ranging from one week to four years.
- Hedging Granularity
- Frame SOFR expectations over the nearest 13 calendar months precisely with the complementary One-Month SOFR futures.
- Frame SOFR expectations over the nearest 13 calendar months precisely with the complementary One-Month SOFR futures.
- Relative Value and Margin Efficiency
- Trade Three-month SOFR futures against related interest rate products, such as €STR futures and T-Bill futures, to manage basis risk and access potential cross-margin savings. Margin offsets are subject to change based on market conditions.
- Trade Three-month SOFR futures against related interest rate products, such as €STR futures and T-Bill futures, to manage basis risk and access potential cross-margin savings. Margin offsets are subject to change based on market conditions.
Source: CME Group
This advertisement has not been reviewed by the Monetary Authority of Singapore.
