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CME Group, the world's leading and most diverse derivatives marketplace, today announced it 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, scheduled to be published daily by the Federal Reserve Bank of New York in cooperation with the U.S. Office of Financial Research beginning on April 3, 2018.
Although correlated with LIBOR and effective federal funds rates, SOFR, a broad Treasury repo index, is distinct from these rates.
"We worked extensively with our clients to design SOFR futures, which in addition to our existing suite of interest rate futures, will provide clients with new spread trading opportunities and tools that can be used for investment, risk management and hedging," said Agha Mirza, CME Group Global Head of Interest Rate Products.
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.
Monthly and quarterly SOFR futures will be listed by and subject to the rules of CME. Contract specifications for both Three-Month and One-Month SOFR Futures are now available at cmegroup.com/sofrfutures.
