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I'm looking for numerical examples on how CME SOFR futures contracts are used in practice for hedging purposes. Book references containing this discussion are appreciated.

Bloomberg's FLDS function gives 0.25 as the contract duration for all maturities. What's the reasoning behind this?

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    $\begingroup$ becuase all SOFR futures contracts are 3M in duration, i.e 0.25 years. You can see the contract specifications on CME website. $\endgroup$
    – Attack68
    Jul 26, 2023 at 20:05
  • $\begingroup$ In other words, how's the duration of a 3-Month SOFR future contract maturing in December'24 equal to 0.25? $\endgroup$
    – SuavestArt
    Jul 26, 2023 at 20:09
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    $\begingroup$ Becuase the Dec'24 SOFR future is a derivative on a Swap which stops trading in Mar 25 (after all SOFR fixings accumlated) and the underlying contract that it refers to is a Swap which starts in the middle of Dec 24 and ends in the middle of March 25, i.e. a 3M instrument. $\endgroup$
    – Attack68
    Jul 26, 2023 at 20:12

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My current bedside reading: Wiley Finance's "SOFR Futures and Options" (Huggins and Schaller). Also, you can get 30% off by using CME's discount code here (https://www.cmegroup.com/markets/interest-rates/sofr-futures-and-options-guide.html).

I'll echo @Attack68 as to the 0.25 year length for 3-month CME SOFR futures. If you're referring to the BPV of the contracts, it's 25 for 3-month CME SOFR futures and 41.67 for 1-month CME SOFR futures, per the specs on CME's website (see e.g., https://www.cmegroup.com/trading/interest-rates/secured-overnight-financing-rate-futures.html).

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