CME Three-Month SOFR Futures and One-Month

SOFR Futures
After extensive consultation with market participants, CME plans to launch Three-Month SOFR futures
and One-Month SOFR futures as summarized below and in the following Exhibit.

Three-Month SOFR futures • I ntermarket spreads versus the nearest 7 monthly CBOT 30-
Day Federal Funds futures should provide timely indication of
• Price is IMM Index = 100 minus Rate.
market expectations across the nearby term structure of the
• “ Rate” is business-day-compounded SOFR interest during the fed funds-SOFR basis spread.
contract Reference Quarter.
• C
 ontract Reference Quarter starts on IMM Wednesday of third Complementarity between Three-Month SOFR
month before contract delivery month, and ends immediately futures and One-Month SOFR futures
before IMM Wednesday of contract delivery month.
For any Three-Month SOFR futures contract prior to the start
• “ Contract Month” is the month in which Reference Quarter of its Reference Quarter, the contract rate – the “Rate” portion
begins. Example: For a “March” contract, Reference Quarter of the “100 minus Rate” contract price – gauges market
starts on IMM Wednesday of March and ends with contract expectation of business-day compounded SOFR during the
final settlement on IMM Wednesday of June, the contract Reference Quarter, expressed as an interest rate per annum.
delivery month. After the nearby contract enters its Reference Quarter, the
contract rate becomes a mix of (i) known SOFR values, ie,
• $25 per basis point per annum
published values for all days from start of the Reference Quarter
• I nitial contract listings will comprise the 20 March Quarterly to the present, and (ii) market expectations of SOFR values for all
months starting with June 2018 (ie, the remaining days in the Reference Quarter that lie ahead.
contract scheduled for final settlement on
As the expiring contract progresses through its Reference
Wednesday, 19 September 2018)
Quarter, the forward-looking expectational component of its
• I ntermarket spreads versus the nearby 20 Three-Month price plays a steadily diminishing role in fair valuation of the
Eurodollar (GE) futures – quarterly, White year through Gold contract. In general, progressively decreasing uncertainty about
year – should furnish a clear view of market assessment of the the contract’s final settlement price means steadily less contract
term structure of basis spreads between 3-month SOFR OIS price volatility. Seen in this light, the One-Month SOFR futures
exposures and corresponding 3-month Eurodollar exposures. strip will make a useful complement to Three-Month SOFR
futures for market participants who seek finer granularity
One-Month SOFR futures in framing market expectations of future SOFR values, or
who seek finer resolution of SOFR volatility, over the nearby
• Price is IMM Index = 100 minus Rate.
1-month to 4-month interval.
• “ Rate” is arithmetic average of daily SOFR values during
contract delivery month.
• $41.67 per basis point per annum
• I nitial contract listings will comprise the nearest
7 calendar months, starting with May 2018.
Exhibit

Three-Month SOFR Futures and One-Month SOFR Futures

Three-Month SOFR futures and One-Month SOFR futures shall trade on and according to the rules of Chicago Mercantile
Exchange (“CME”), pending certification of contract terms with the US Commodity Futures Trading Commission and completion
of all regulatory review periods.

CME Three-Month SOFR Futures CME One-Month SOFR Futures

Trading Unit Compounded daily Secured Overnight Financing Rate Average daily Secured Overnight Financing Rate
(“SOFR”) interest during contract Reference Quarter, (“SOFR”) interest during futures contract Delivery
such that each basis point per annum of interest = $25 Month, such that each basis point per annum of interest
per contract. is worth $41.67 per futures contract.
Reference Quarter: For a given contract, interval from
(and including) 3rd Wed of 3rd month preceding Delivery
Month, to (and not including) 3rd Wed of Delivery Month.
Price Basis Contract-grade IMM Index: 100 minus R. Contract-grade IMM Index: 100 minus R.
R = compounded daily SOFR interest during contract R = average daily SOFR interest during contract Delivery
Reference Quarter. Month.
Example: Contract price of 97.2950 IMM Index points signifies R = 2.705 percent per annum.
Contract Size $25 per basis point per annum $41.67 per basis point per annum
Minimum Price Contracts with Four Months or Less Until Termination 0.005 IMM Index points (½ basis point per annum) equal
Increment (MPI) of Trading: 0.0025 IMM Index points to $20.835 per contract, provided that:
(¼ basis point per annum) equal to $6.25 per contract • If
 first day of contract Delivery Month is Sat, Sun,
All Other Contracts: 0.005 IMM Index points or Mon, then MPI is 0.0025 Index points, equal to
(½ basis point per annum) equal to $12.50 per contract $10.4175 per contract, as of first trading day of
contract Delivery Month.
• I f first day of contract Delivery Month is Tue, Wed,
Thurs, or Fri, then MPI is 0.0025 Index points, equal
to $10.4175 per contract, as of last Sunday of month
preceding contract Delivery Month.
Termination of Trading Last Day of Trading: Exchange Business Day first Last Day of Trading: Last Exchange Business Day of
preceding 3rd Wed of Delivery Month. contract Delivery Month.
Termination of Trading: Close of CME Globex trading on Last Day of Trading.
Delivery Cash settlement, by reference to Final Settlement Price, on first US government securities market business day
following Last Day of Trading.
Final Settlement Price: Contract-grade IMM Index Final Settlement Price: Contract-grade IMM Index
evaluated on the basis of realized SOFR values during evaluated at R = arithmetic average of daily SOFR during
contract Reference Quarter: Delivery Month.
R = [ Πi {1+(di/360)*(r i/100)} – 1 ] x (360/D) x 100
n = N
 umber of US government securities market
business days in the Reference Quarter
i ~ R
 unning variable indexing US government securities
market business days during Reference Quarter
Πi  enotes the product of values indexed by the
d
running variable, i = 1,2,…,n.
 OFR value for ith US government securities market
ri = S
business day
di = Number of calendar days to which ri applies
D = Σ
 id i (ie, number of calendar days in Reference
Quarter)
 CME Three-Month SOFR Futures CME One-Month SOFR Futures
Delivery Months Nearest 20 March Quarterly months (Mar, Jun, Sep, Dec). Nearest 7 calendar months
For each contract, Contract Month is the month in
which Reference Quarter begins. Example: For a “Sep”
contract, Reference Quarter starts on IMM Wed of Sep
and ends with Termination of Trading on the first US
government securities market business day before IMM
Wed of Dec, the contract Delivery Month.
Trading Venues CME Globex and CME ClearPort: 5 p.m. to 4 p.m. Sun-Fri.
and Hours

CME Globex Algorithm Allocation (A Algorithm, with Top Order Allocation = Split FIFO and Pro-Rata (K Algorithm, with Top Order
100% and Pro Rata Allocation = 100%) Allocation = 100% and Pro Rata Allocation = 100%)
Block Trade ATH 250 contracts ATH 125 contracts
Minimum Size ETH 500 ETH 250
RTH 1,000 RTH 500
ATH – Asian Trading Hours (4pm–12am, Mon-Fri on regular business days and at all weekend times)
ETH – European Trading Hours (12am– 7am, Mon-Fri on regular business days)
RTH – Regular Trading Hours (7am–4pm, Mon-Fri on regular business days)
Product Code CME: SR3 CME: SR1
Bloomberg: SFR Cmdty <GO> Bloomberg: SER Cmdty <GO>
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Pending regulatory review

Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Swaps trading should only be undertaken by investors who are Eligible Contract Participants (ECPs)
within the meaning of Section 1a(18) of the Commodity Exchange Act. Futures and swaps each are leveraged investments and, because only a percentage of a contract’s value is required to trade, it is possible
to lose more than the amount of money deposited for either a futures or swaps position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles and only a portion
of those funds should be devoted to any one trade because traders cannot expect to profit on every trade. All examples discussed are hypothetical situations, used for explanation purposes only, and should not
be considered investment advice or the results of actual market experience.

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of the City of Chicago, Inc. NYMEX and ClearPort are trademarks of the New York Mercantile Exchange, Inc. Commodity Exchange and COMEX are trademarks of Commodity Exchange, Inc.

The information within this brochure has been compiled by CME Group for general purposes only and has not taken into account the specific situations of any recipients of this brochure. CME Group assumes
no responsibility for any errors or omissions. Additionally, all examples in this brochure are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the
results of actual market experience. All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME, NYMEX and CBOT rules. Current CME/CBOT/NYMEX rules
should be consulted in all cases before taking any action.

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