0
$\begingroup$

I am reading CME Methodology for SOFR Future settlement calculation. The calculation seems to be straight forward but I am confused about the data CME uses for settlement price.

I am assuming it is using average SOFR prices published by newyorkFed T+1.

I was following the example outlined in SOFR Futures Settlement Calculation. I couldn't find the same SOFR benchmark rates in Fed.

enter image description here

enter image description here

$\endgroup$
3
  • $\begingroup$ I think the data in the document is fictional. It was built before futures traded. The FED published the first rate on April 3, 2018 (for April 2nd). The CME note also says its first trade date will be Monday, May 7, 2018. $\endgroup$
    – AKdemy
    Feb 3, 2022 at 20:40
  • $\begingroup$ Neither EFFR nor OBFR (in your screenshot) is SOFR. SOFR itself is identical to the settlement values from the CME (look at the 3m SOFR future settlement file). $\endgroup$
    – AKdemy
    Feb 3, 2022 at 21:08
  • $\begingroup$ Might be fictional. Thank you $\endgroup$ Feb 4, 2022 at 3:02

0

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Browse other questions tagged or ask your own question.