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SOFR Futures Contract Specifications(CME芝商所利率期货SOFR合约细则)

SOFR Futures Contract Specifications(CME芝商所利率期货SOFR合约细则)

Based on extensive customer input, CME Group launched 3-Month and 1-Month SOFR futures contracts. The 1-Month SOFR strip futures proves useful to 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.

3-Month SOFR Futures1-Month SOFR Futures
Contract UnitCompounded 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 BasisContract-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 FluctuationNearby Delivery Month:  0.0025 IMM Index points (¼ basis point per annum) equal to $6.25 per contract

All Other Delivery Months: 0.005 IMM Index points (½ basis point per annum) equal to $12.50 per contract
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 MonthsNearest 20 March Quarterly months (Mar, Jun, Sep, Dec)Nearest 7 calendar months


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Vendor Codes


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

10:6 Spread

10:6 Spread

CME Globex

SR3

SR1

SR3

SR1

SR1

ZQ

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:

TT

SR3

SR1

SR3

SR1

SR1

ZQ

CQG

SR3

SR1

SGI0

SZI0

SRWI1

ZSWI1

FIS/SunGard

SR3

SR1

SR3

SR1

SR1

ZQ

Fidessa

SR3

SR1

SR3

SR1

SR1

ZQ

Bloomberg

SFR Comdty

SER Comdty

Not yet supporting1

Not yet supporting1

Not yet supporting1

Not yet supporting1

ION (Pats & FFastFill)

SR3

SR1

Not yet supporting1

Not yet supporting1

Not yet supporting1

Not yet supporting1

Broadway Technology

SR3

SR1

Not yet supporting1

Not yet supporting1

Not yet supporting1

Not yet supporting1


1These vendors are not yet supporting SOFR spreads, please contact their help desk to request support

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更详细的CME芝商所利率期货SOFR合约文本与细则:sofr-futures-contract-specifications.pdf
更详细的CME芝商所利率期货SOFR说明sofr-futures-product-overview.pdf
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