CME Group will launch monthly and quarterly Secured Overnight Financing Rate (SOFR) futures on May 7, 2018, pending regulatory review. The futures will be based on the Alternative Reference Rates Committee-endorsed SOFR index, which is published daily by the Federal Reserve Bank of New York in cooperation with the US Office of Financial Research beginning. Although correlated with LIBOR and effective federal funds rates, SOFR, a broad Treasury repo index, is distinct from these rates.
SOFR futures will provide CME Group clients with execution efficiency through intercommodity spreads on CME Globex. This product will also offer capital efficiencies through margin offsets of up to 85 percent against other CME Group products including 30-Day Federal Funds futures, Eurodollar futures, and 10-Year T-Note futures. Based on extensive customer input, CME Group will launch 3-Month and 1-Month SOFR futures contracts. The 1-Month SOFR futures strip will prove useful to market 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.