CME 1-Month Secured Overnight Financing Rate (SOFR) Futures Daily Settlement Procedure

CME Group staff determines the daily settlement of the 1-Month SOFR futures based on the market activity on CME Globex.

1-Month SOFR Futures Contracts

All 1-Month SOFR (SR1) Futures contracts will be settled based upon the bid/ask activity of both outright and spread markets on Globex between 13:59:00 and 14:00:00 CT. Spreads to be considered in this manner are 1 month calendars, 2 month calendars, 3 month calendars, 6 month calendars, 1 month butterflies and the inter-commodity 1-Month SOFR vs Fed Fund spreads. Bids and asks in calendar spreads, butterfly instruments and inter-commodity 1-Month SOFR vs Fed Fund spreads will be used in conjunction with settlements from any months where a settlement price has been determined to form an implied market in the contract to be settled. These implied markets, along with the outright bid/ask market for the contract, will be used to derive the best possible bid and the best possible ask. If there are multiple prices that are eligible between this best possible bid and the best possible ask, the price will be chosen that sets the net change as close to the net change of the contract that precedes it in the settlement order.

1-Month SOFR Futures Final Settlement Methodology

https://www.cmegroup.com/content/dam/cmegroup/rulebook/CME/IV/400/461.pdf

CME 3-Month SOFR Futures Daily Settlement Procedure

CME Group staff determines the daily settlement of 3-Month SOFR (SR3) futures based on the market activity on CME Globex.

Serial and Quarter Tick Eligible Quarterly Contract Months

Serial contract months settle to the midpoint of the CME Globex bid/ask during the settlement period, with adjustments made to incorporate relevant spread bid/ask activity in the spread between the serial (or front quarterly month if quarter tick eligible) and the first non-quarter tick eligible quarterly contract.

Non-Quarter Tick Eligible Quarterly Contracts

The first 10 or 11 (depending on quarter tick eligibility) quarterly 3-Month SOFR (SR3) months settle based upon the bid/ask activity of both outright and spread markets on CME Globex between 13:59:00 and 14:00:00 Central Time (CT). Initial prices are determined by the volume weighted average price (VWAP) of each outright contract, and may be adjusted within the outright bid/ask range to accommodate calendar spread and butterfly bids and asks. Spreads to be considered in this manner are 3 month calendars, 6 month calendars, 9 month calendars, 12 month calendars, 3 month butterflies, and 12 month butterflies. In all cases, the solution that accommodates the most spread bids and asks will be chosen.

The remaining 28 deferred quarterly contracts will be settled using bids and asks in calendar spreads and butterfly instruments in conjunction with settlements from any months where a settlement price has been determined to form an implied market in the contract to be settled. These implied markets, along with the outright bid/ask market for the contract, will be used to derive the best possible bid and the best possible ask. If there are multiple prices that are eligible between this best possible bid and the best possible ask, the price will be chosen that sets the net change as close to the net change of the contract that precedes it in the settlement order.

*Please note that all VWAPs calculated in the above procedure will be rounded to the nearest tradable tick, following a symmetric – “round half towards zero” – rounding convention. For instance, a VWAP of 99.6525 of a non-quarter tick eligible outright will be rounded to 99.650. A spread VWAP of -12.25 will be rounded to -12.0.

Final Settlement

https://www.cmegroup.com/content/dam/cmegroup/rulebook/CME/IV/400/460.pdf