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n January 1 5 , 2 0 1 7 ( today = time 0 ) , a firm is worried that the interest rate may

n January 15,2017(today = time 0), a firm is worried that the interest rate may decline in the next six months, when it will receive the payment from the sale of a piece of equipment. In particular, the firm will receive on July 15,2017 a $200 million receivable that needs to be invested for another six months. As a hedging strategy, the firm decides to go long on 3-month SOFR futures contracts and buys 200 June 2017 futures contracts. The quoted futures price on this day is $91.72. The firm sells the future contract on July 15th. Over the life of the contract the prices move as given below.
15-Jan-1791.72
16-Jan-1791.88
17-Jan-1791.65
.
.
15-July-1793.59
What is the reference quarter for the June 2017 Sofr Futures Contracts?

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