Interest Rate Futures Explained: SOFR, Treasury Futures, CORRA, and Canadian Bond Futures (CGB)

Interest rate futures are contracts whose value depends on interest rates, either a short-term borrowing rate over a coming quarter or the price of a government bond. Short-term rate futures such as SOFR and CORRA futures are quoted as 100 minus the rate, so the price goes up when the expected rate goes down.

In short: CME Group’s Three-Month SOFR futures (SR3) are priced at 100 minus the compounded SOFR rate over a reference quarter, and each basis point is worth $25 per contract. The Montreal Exchange’s Three-Month CORRA futures (CRA) use the same design in Canadian dollars, also C$25 per basis point. Bond futures work differently: CME’s 10-Year T-Note futures (ZN) cover $100,000 face value of Treasury notes and move in half of one thirty-second of a point, $15.625 per tick, while the Montreal Exchange’s 10-year Government of Canada bond futures (CGB) cover C$100,000 and move in 0.01 points, C$10 per tick.

Two kinds of interest rate futures

	Short-term rate futures	Bond futures
Examples	SOFR (CME), CORRA (Montreal Exchange)	Treasury futures (CME), CGB and other Canada bond futures (Montreal Exchange)
What is priced	An average overnight rate over a three-month period	A government bond with a notional 6% coupon
Quote	100 minus the rate	Points per 100 of face value
Settlement	Cash	Physical delivery of eligible bonds
Typical user	Banks and companies managing floating-rate exposure, traders expressing views on central bank policy	Bond portfolio managers, dealers hedging inventory, mortgage and pension hedgers

Both kinds trade on the same core mechanics as every other future: a clearing house in the middle, initial margin, and daily mark-to-market. If those are unfamiliar, start with what a futures contract is.

SOFR futures: pricing as 100 minus the rate

SOFR, the Secured Overnight Financing Rate, is published by the Federal Reserve Bank of New York and measures the cost of borrowing cash overnight against Treasury collateral. It replaced US dollar LIBOR as the main US floating rate benchmark.

CME’s Three-Month SOFR futures specifications (CME Rulebook Chapter 460, as of November 2026):

Price: an IMM index equal to 100 minus R, where R is the business-day compounded SOFR over the contract’s reference quarter. CME’s own example: a price of 96.1550 means R = 3.845% per year.
Contract size: $25 per basis point per year, which is $2,500 per index point.
Tick: one quarter of a basis point (0.0025, worth $6.25) for contracts with four months or less to last trading day; one half of a basis point (0.005, worth $12.50) for all others.
Reference quarter: runs from one IMM date (the third Wednesday of a quarterly month) to the next. Trading ends on the business day before the third Wednesday that closes the quarter.
Settlement: cash, to 100 minus the actual compounded SOFR over the quarter.

Why 100 minus the rate?

The convention makes rate futures behave like bonds: price up when rates fall, price down when rates rise. It also lets traders read market expectations directly. If a SOFR future trades at 96.50, the market is pricing an average compounded SOFR of about 3.50% for that quarter.

Where does $25 come from? CME’s practitioner guide explains it as $1,000,000 x 0.01% x one quarter of a year. The $1 million is a way of thinking about it, not a defined term of the contract.

Worked example: SOFR futures

Illustrative prices. A company that borrows at a floating rate is worried about rates rising, so it sells 10 SR3 contracts at 96.2500 (an implied rate of 3.75%). A month later the contract is at 96.2000 (implied 3.80%).

Move: 96.2500 minus 96.2000 = 0.0500 = 5 basis points.
Value per contract: 5 x $25 = $125. In ticks of half a basis point: 10 ticks x $12.50 = $125.
Ten contracts: $1,250 gain on the short futures position.

That gain is meant to offset the higher interest cost on the company’s loan. It is a hedge, with the details covered in how hedging with futures works. Had rates fallen instead, the futures would have lost money while the loan got cheaper.

Treasury futures: the 10-Year Note (ZN)

CME’s Treasury futures family includes the 2-Year (ZT), 5-Year (ZF), 10-Year (ZN), Ultra 10-Year (TN), Treasury Bond (ZB) and Ultra Bond (UB) contracts. The 10-Year Note is the most widely followed. Specifications as of November 2026:

Feature	10-Year T-Note futures (ZN)
Contract unit	$100,000 face value at maturity
Price quote	Points and 32nds of a point per 100 of face value
One full point	$1,000
One 32nd	$31.25
Minimum tick	One half of one 32nd = $15.625 (intermonth spreads can trade in quarters of a 32nd)
Listed months	Three consecutive quarterly contracts (March, June, September, December)
Settlement	Physical delivery
Deliverable notes	US Treasury notes with an original term of not more than 10 years and a remaining term of at least 6 years 6 months and less than 8 years from the first day of the delivery month (CBOT Rulebook Chapter 19)

That last row surprises people. The “10-Year” contract does not deliver the newest 10-year note. Its basket is notes with between six and a half and eight years left, which is why the CBOT rulebook chapter is titled “U.S. Treasury Note Futures (6½ to 8-Year).” Older material that says “six and a half to ten years” describes the previous basket. For exposure to the newest 10-year notes, CME lists the separate Ultra 10-Year contract.

Conversion factors and cheapest-to-deliver

Because several different notes can be delivered, each with a different coupon and maturity, the exchange assigns each one a conversion factor: roughly the price of that note, per $1 of face value, at a 6% yield. The seller who delivers receives the futures settlement price times the conversion factor, plus accrued interest. Sellers choose which eligible note to deliver, and they pick the one that is cheapest relative to that invoice. That note is the “cheapest-to-deliver,” and the futures price tends to track it.

Worked example: ZN tick arithmetic

ZN prices are written like 110-16, meaning 110 and 16/32, or 110.50.

Notional at 110-16: 110.50 x $1,000 = $110,500.
The price rises to 110-24: a move of 8/32.
In half-32nd ticks: 16 ticks x $15.625 = $250 per contract. (Check: 8 x $31.25 = $250.)

CME’s own example: 10 contracts x 15 ticks x $15.625 = $2,343.75, which it rounds to $2,344.

Canada: CORRA futures and Government of Canada bond futures

Three-Month CORRA futures (CRA)

CORRA, the Canadian Overnight Repo Rate Average, is administered by the Bank of Canada and plays the role in Canada that SOFR plays in the US. CORRA futures have taken over the role once played by BAX futures, which were tied to CDOR, a benchmark that stopped being published at the end of June 2024.

Montreal Exchange specifications as of November 2026:

Price: 100 minus R, where R is compounded daily CORRA over the reference quarter.
Contract size: C$25 per basis point (C$2,500 x the index).
Tick: 0.0025 (C$6.25) for the nearest contract month; 0.005 (C$12.50) for all others.
Reference quarter: from the third Wednesday of the contract month to the third Wednesday of the delivery month three months later. For example, the June contract covers June’s IMM Wednesday to September’s.
Listed: the nearest twelve quarterly months. Cash settled.

The arithmetic is identical to SOFR. A 5-basis-point move is C$125 per contract.

The exchange also lists One-Month CORRA futures (COA) for shorter periods.

Ten-Year Government of Canada Bond futures (CGB)

The CGB, launched in 1989, is the Montreal Exchange’s flagship bond contract. The exchange also lists two-year (CGZ), five-year (CGF) and thirty-year (LGB) bond futures. CGB specifications as of November 2026:

Underlying: C$100,000 nominal value of a Government of Canada bond with a 6% notional coupon.
Quote: per C$100 of nominal value.
Tick: 0.01 = C$10 per contract.
Months: March, June, September and December.
Deliverable bonds: Government of Canada bonds with between 8 and 10.5 years to maturity as of the first day of the delivery month (rounded down to the nearest three-month period), with at least C$3.5 billion outstanding, issued at 10-year auctions, subject to the exchange’s further conditions.

Note the difference from ZN: CGB ticks are decimal (0.01), not fractions of a 32nd.

Worked example: CGB

Illustrative prices. A bond manager sells 5 CGB contracts at 128.50 to hedge a bond portfolio. The price falls to 127.90 as yields rise.

Move: 128.50 minus 127.90 = 0.60 = 60 ticks.
Per contract: 60 x C$10 = C$600.
Five contracts: C$3,000 gain on the futures, offsetting part of the loss on the bonds.

What moves interest rate futures

Central bank decisions and expectations. SOFR and CORRA futures react most to expected Federal Reserve and Bank of Canada policy rates.
Inflation and jobs data. Data that changes the rate outlook moves the whole curve.
Supply. Government borrowing plans affect bond yields and therefore bond futures.
Funding stress. Repo market stress can push SOFR or CORRA away from the policy rate.

What can go wrong

Small numbers, large positions. A quarter of a basis point sounds trivial, but rate futures are often traded in large size. A surprise rate decision can move a SOFR contract 25 basis points in minutes: $625 per contract.
Duration risk in bond futures. A 10-year bond future can move several points on a big data surprise. One full point on ZN is $1,000 per contract.
Delivery. Treasury and CGB futures are physically delivered. Holding into the delivery period without the intention or ability to deliver or receive bonds creates obligations your broker will not want you to have. Most brokers require retail customers to close or roll before first notice day; see physical vs cash settlement.
Basis risk. A hedge using SOFR or bond futures rarely matches the exposure exactly. Your loan may float on a different rate, and your bonds may not behave like the cheapest-to-deliver.
Margin changes. Exchanges raise margins in volatile periods. As of November 2026 current requirements are on the CME Group and Montreal Exchange (CDCC) websites.

The takeaway

Short-term rate futures like SOFR and CORRA are quoted as 100 minus the rate and are worth $25 or C$25 per basis point. Bond futures like ZN and CGB are quoted in points per 100 of face value on a C$100,000 or $100,000 contract and settle by delivering an eligible government bond. The 10-Year T-Note’s basket is notes with 6.5 to 8 years left; the CGB’s is bonds with 8 to 10.5 years left. In every case, a tiny-looking tick multiplied by contract size is real money.