Config.
Marché
Rapport
Unité

COT SOFR 3M (SR3)

Période
Échelle

As-of mardi · close vendredi · source CFTC

Long vs Short

Long et short en % d’OI (catégorie focus)

Δ 4 semaines

Variation du net vs le rapport d’il y a 4 semaines

Cette semaine

Catégorie Long Short Spreading Net Δ Long Δ Short Δ Net % OI long % OI short

Historique

Rates · Short-term · CME

What is the Three-Month SOFR (SR3) futures contract?

Three-Month SOFR (SR3)

A long means…

Exposure to a rise in the 3-month SOFR futures price. Quoted 100 minus the rate: when the price rises, the implied rate falls.

What is this?

Three-month SOFR is the benchmark dollar short-rate future since Libor ended: it took the Eurodollar’s place. It references business-day compounded SOFR over an IMM quarter — the cost of overnight borrowing collateralized by Treasuries, published by the New York Fed. Quoted 100 minus the rate: when the price rises, the implied rate falls. Banks use it to hedge SOFR loans and swaps; managers to sit on the short-rate path.

It is not one-month SOFR, a calendar-month average, nor Fed Funds, which follow unsecured EFFR. It is not a Treasury note.

Pitfalls

  • Not 1-month SOFR (SR1, 134742): IMM quarter vs calendar average.
  • Not a Treasury future (ZN / ZT) and not Fed Funds (ZQ).
  • Not Libor / Eurodollar (discontinued).
  • Quoted 100 minus the rate: long the price = short implied SOFR.

Univers LIX

Le positionnement n’est pas le risque

Le COT décrit qui est positionné. Le LIX décrit le niveau de risque de marché — 12 indicateurs, hors COT.