Face Value of SOFR futures
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What is the face value of CME 1M and 3M SOFR future contracts? The face value of CME 3M Eurodollar Futures is 1 million.
cme yield-futures
asked Feb 21 at 6:13
Bhaskar GudimetlaBhaskar Gudimetla
617
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add a comment |
$begingroup$
What is the face value of CME 1M and 3M SOFR future contracts? The face value of CME 3M Eurodollar Futures is 1 million.
cme yield-futures
asked Feb 21 at 6:13
Bhaskar GudimetlaBhaskar Gudimetla
617
$endgroup$
add a comment |
$begingroup$
What is the face value of CME 1M and 3M SOFR future contracts? The face value of CME 3M Eurodollar Futures is 1 million.
cme yield-futures
asked Feb 21 at 6:13
Bhaskar GudimetlaBhaskar Gudimetla
617
$endgroup$
What is the face value of CME 1M and 3M SOFR future contracts? The face value of CME 3M Eurodollar Futures is 1 million.
cme yield-futures
cme yield-futures
asked Feb 21 at 6:13
Bhaskar GudimetlaBhaskar Gudimetla
617
asked Feb 21 at 6:13
Bhaskar GudimetlaBhaskar Gudimetla
617
asked Feb 21 at 6:13
Bhaskar GudimetlaBhaskar Gudimetla
617
asked Feb 21 at 6:13
Bhaskar GudimetlaBhaskar Gudimetla
617
asked Feb 21 at 6:13
Bhaskar GudimetlaBhaskar Gudimetla
617
617
add a comment |
add a comment |
1 Answer
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The 3M futures are worth $2500 per index point and the 1M futures are worth $4167 per index point.
The index is
$$P = 100 - R$$
where R is the compounded SOFR (annualized) over the reference period.
The contracts don't have a face value (they are defined in terms of the number of dollars per index point) but you can think of the 3M futures as having a $1 million face value and the 1M futures as having a $5 million face value, since
$$2500 = 1000000 times frac{1}{100} times frac{3}{12}$$
$$4167 approx 5000000 times frac{1}{100} times frac{1}{12}$$
answered Feb 21 at 6:41
Chris TaylorChris Taylor
3,346918
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1 Answer
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1 Answer
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oldest
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oldest
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active
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votes
$begingroup$
The 3M futures are worth $2500 per index point and the 1M futures are worth $4167 per index point.
The index is
$$P = 100 - R$$
where R is the compounded SOFR (annualized) over the reference period.
The contracts don't have a face value (they are defined in terms of the number of dollars per index point) but you can think of the 3M futures as having a $1 million face value and the 1M futures as having a $5 million face value, since
$$2500 = 1000000 times frac{1}{100} times frac{3}{12}$$
$$4167 approx 5000000 times frac{1}{100} times frac{1}{12}$$
answered Feb 21 at 6:41
Chris TaylorChris Taylor
3,346918
$endgroup$
add a comment |
$begingroup$
The 3M futures are worth $2500 per index point and the 1M futures are worth $4167 per index point.
The index is
$$P = 100 - R$$
where R is the compounded SOFR (annualized) over the reference period.
The contracts don't have a face value (they are defined in terms of the number of dollars per index point) but you can think of the 3M futures as having a $1 million face value and the 1M futures as having a $5 million face value, since
$$2500 = 1000000 times frac{1}{100} times frac{3}{12}$$
$$4167 approx 5000000 times frac{1}{100} times frac{1}{12}$$
answered Feb 21 at 6:41
Chris TaylorChris Taylor
3,346918
$endgroup$
add a comment |
$begingroup$
The 3M futures are worth $2500 per index point and the 1M futures are worth $4167 per index point.
The index is
$$P = 100 - R$$
where R is the compounded SOFR (annualized) over the reference period.
The contracts don't have a face value (they are defined in terms of the number of dollars per index point) but you can think of the 3M futures as having a $1 million face value and the 1M futures as having a $5 million face value, since
$$2500 = 1000000 times frac{1}{100} times frac{3}{12}$$
$$4167 approx 5000000 times frac{1}{100} times frac{1}{12}$$
answered Feb 21 at 6:41
Chris TaylorChris Taylor
3,346918
$endgroup$
The 3M futures are worth $2500 per index point and the 1M futures are worth $4167 per index point.
The index is
$$P = 100 - R$$
where R is the compounded SOFR (annualized) over the reference period.
The contracts don't have a face value (they are defined in terms of the number of dollars per index point) but you can think of the 3M futures as having a $1 million face value and the 1M futures as having a $5 million face value, since
$$2500 = 1000000 times frac{1}{100} times frac{3}{12}$$
$$4167 approx 5000000 times frac{1}{100} times frac{1}{12}$$
answered Feb 21 at 6:41
Chris TaylorChris Taylor
3,346918
answered Feb 21 at 6:41
Chris TaylorChris Taylor
3,346918
answered Feb 21 at 6:41
Chris TaylorChris Taylor
3,346918
answered Feb 21 at 6:41
Chris TaylorChris Taylor
3,346918
3,346918
add a comment |
add a comment |
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