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 Futures	1-Month SOFR Futures
Contract Unit	Compounded 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 Basis	Contract-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 Fluctuation	Nearby 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 Months	Nearest 20 March Quarterly months (Mar, Jun, Sep, Dec)	Nearest 7 calendar months

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

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