SOFR Contract Settlement Dates

K

killATwill

Was looking at March 24 SOFR (SQH24) and barchart says it settles in June.

Does that seem right?

If so will the contract on settlement express where rates land in June (on settlement date) or March?

Thx
 
Settlement price is based on the daily rate from March 20 to June 20. Similar to the CME fed funds contract. So it starts out as forward looking until March 20 than changes to backwards looking as each day is added in till June 20 when the weighted average of the period will be known.
 
Thanks, so if I understand you correctly, the settlement price will roughly equal the weighted average of price from March 20 through June 20?

The corresponding contract for FF is ZQH24, which has a settlement at end of March. Wondering how that is similar? Does it price weighted average of December through March?

Repoguy said:
Settlement price is based on the daily rate from March 20 to June 20. Similar to the CME fed funds contract. So it starts out as forward looking until March 20 than changes to backwards looking as each day is added in till June 20 when the weighted average of the period will be known.
More...
 
Last edited:
Fed funds are one month exposure so March 1- March 31.

The 3 month sofr has 3 months of daily weighted averages.

There is also a 1 month sofr contract.

The sofr complex is more like the fed funds complex in it s calc method as opposed to how euros settled. What ever was the 3month euro dollar deposit rate was on say March 18 2024.
 
Thanks, appreciate your insight.

Repoguy said:
Fed funds are one month exposure so March 1- March 31.

The 3 month sofr has 3 months of daily weighted averages.

There is also a 1 month sofr contract.

The sofr complex is more like the fed funds complex in it s calc method as opposed to how euros settled. What ever was the 3month euro dollar deposit rate was on say March 18 2024.
More...
 
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