SOFR futures
E74504
SOFR futures are exchange-traded derivatives that allow market participants to hedge or speculate on future levels of the Secured Overnight Financing Rate, the U.S. dollar risk-free benchmark interest rate.
Statements (48)
| Predicate | Object |
|---|---|
| instanceOf |
exchange-traded derivative
ⓘ
interest rate futures contract ⓘ |
| basedOn |
overnight repo transactions collateralized by U.S. Treasuries
ⓘ
risk-free reference rate ⓘ |
| benchmarkTransitionRole | primary futures benchmark after USD LIBOR cessation ⓘ |
| benchmarkType | nearly risk-free rate derivative ⓘ |
| category | short-term interest rate futures ⓘ |
| clearing | central counterparty clearing ⓘ |
| contractUnit | notional money market deposit linked to SOFR ⓘ |
| currencyRegion |
United States of America
ⓘ
surface form:
United States
|
| denominatedIn |
US dollar
ⓘ
surface form:
USD
US dollar ⓘ
surface form:
United States dollar
|
| hedgeTarget | short-term U.S. dollar interest rates ⓘ |
| linkedTo | U.S. Treasury repurchase agreement market ⓘ |
| liquidityCharacteristic | highly liquid for near-term expiries ⓘ |
| marginType | futures-style margining ⓘ |
| marketParticipants |
commercial banks
ⓘ
institutional investors ⓘ proprietary trading firms ⓘ |
| marketRole | key instrument in U.S. dollar risk-free rate markets ⓘ |
| priceDriver |
Federal Reserve monetary policy expectations
ⓘ
U.S. Treasury repo market conditions ⓘ expectations of future SOFR levels ⓘ |
| purpose |
hedging interest rate risk
ⓘ
managing exposure to SOFR movements ⓘ speculating on future interest rates ⓘ |
| quotedAs | 100 minus implied interest rate ⓘ |
| regulatorJurisdiction | U.S. Commodity Futures Trading Commission ⓘ |
| replaced | Eurodollar futures for USD LIBOR-based hedging ⓘ |
| replaces | LIBOR-based short-term interest rate futures ⓘ |
| riskMeasure | sensitivity measured by DV01 ⓘ |
| riskType | interest rate risk ⓘ |
| settlementType | cash-settled ⓘ |
| tradedOn |
CME Group
ⓘ
Chicago Mercantile Exchange ⓘ |
| underlyingReferenceRate |
SOFR
ⓘ
Secured Overnight Financing Rate ⓘ |
| usedBy |
asset managers
ⓘ
banks ⓘ corporate treasurers ⓘ hedge funds ⓘ swap dealers ⓘ |
| usedFor |
basis trading between SOFR and other rates
ⓘ
constructing SOFR yield curves ⓘ hedging SOFR-linked bonds ⓘ hedging SOFR-linked loans ⓘ hedging floating-rate debt linked to SOFR ⓘ pricing SOFR interest rate swaps ⓘ |
Referenced by (1)
Full triples — surface form annotated when it differs from this entity's canonical label.