3M SOFR futures

SOFR (Secured Overnight Financing Rate) is the new floating rate for USD interest rate swap

It looks 3M SOFR futures is going to replace 3M Euro$ futures.  The difference: 3M Euro$ Dec 2021 futures settles around Dec 20, 2021, while SOFR futures settles around Mar 20, 2022 (need to wait for the daily SOFR rate to realize to calculate 3M coumpounded rate).

下麵這個圖，起點應該是12/21 (Dec 2021 contract)。第三個點是 SFRU2，9/20/2022 - 12/20/2022，0.89%