SOFR futures

MacroVar analyses the 1-month and 3-month SOFR futures and provides historical data to monitor the market’s expectations for the US central bank monetary policy actions (rate hikes/cuts) and its effects on financial markets and the US economic outlook.

The Secured Overnight Financing Rate (SOFR) is a measure of the cost of borrowing cash overnight collateralized by Treasury securities. SOFR futures are used as the leading source of SOFR price discovery.

SOFR futures contracts

MacroVar tracks and keeps a historical database of 3-month and 1-month SOFR futures contracts. 3-Month SOFR futures are quarterly contracts reflecting SOFR expectations between IMM dates. 3-month SOFR futures listings extend out to 10 years. 1-Month SOFR futures listings extend to the nearest 13 calendar months.

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SOFR 3-month futures contracts

SOFR 1-month futures contracts