Let's zoom further into how SOFR contract dates work and how they compare to legacy IBOR futures like Euro Dollars.

One interesting quirk is that the date conventions for futures were actually set by those older IBOR futures in the us. That meant US Dollar LIBOR futures known as Euro Dollars, which is why you still see the shorthand ED in things like Sep 2022 ED. So when someone referred to a Sep Euro Dollar future, they meant a contract referencing the three month period from the third Wednesday of September to the third Wednesday of December, that was the forward period the contract was targeting.

SOFR futures follow the same logic, a Sep SOFR future also references the period from September to December. But here's where things start to diverge. Euro Dollar futures settled before the reference period started. Why? Because they settled against the LIBOR fixing, which is published in advance with a T plus 2 convention. That meant final settlement took place two business days before the third Wednesday of September based on the rate that would apply from that IMM date, exactly the way EURIBOR futures still work today. In contrast, SOFR is a backward looking overnight rate and the three month SOFR future settles after the reference period ends. Once all the daily fixings have come in and the compounded average has been calculated. So if you are looking at the March, 2025 SOFR contract, it references the period from the third Wednesday of March to the third Wednesday of June. But because we need all of overnight SOFR fixings for three months to calculate the compounded rate, the contract keeps trading until the very end of the reference period with final settlement the day after. That said, even though the contract continues to trade during the reference period, its price becomes increasingly stable as each day's fixing gets locked in. So liquidity tends to decline over time and trading interest shifts to the next most active contract. The key takeaway, RFR futures like SOFR are designed to observe the same forward period as legacy IBOR futures, but their settlement timing is flipped. IBOR futures settle at the start of the reference period while RFR futures settle at the end. Understanding this difference helps make sense of futures codes, contract calendars, and how risk rolls forward along the curve.