Let's have a look at RFR Futures.

They have one main difference from stir futures, which comes down to the nature of the underlying rate.

FRS are overnight rates.

So instead of settling against a single fixed rate at the start of the period, like three month arrival futures due, RFR futures settle against an average of many daily overnight fixings over the contract's reference period.

And depending on the specific contract, that reference period will typically be either one month or three months.

For example, SOFA and Sonia futures are available in both one month and three month formats.

The others, like Esra or Saron, currently only trade as three month contracts.

Because these are overnight rates reset daily, the final settlement rate is calculated differently.

We don't use a single spot fixing.

Instead, we look at all the overnight rates across the period and aggregate them.

This also means that final settlement of RFR futures can only happen at the end of the underlying reference period, or in other words in arrears, whereas the final settlement of your arrival futures happens before the reference period begins.

Or in other words, in advance.

So RFR futures reflect, reference rate, fixings over a continuous period, not at a single point in time.

That changes how they behave and how we use them compared to something like your rib futures.