diff --git a/modules/product/src/main/java/com/opengamma/strata/product/index/type/ImmutableOvernightFutureContractSpec.java b/modules/product/src/main/java/com/opengamma/strata/product/index/type/ImmutableOvernightFutureContractSpec.java
index 7195b8747b..f75b212ad2 100644
--- a/modules/product/src/main/java/com/opengamma/strata/product/index/type/ImmutableOvernightFutureContractSpec.java
+++ b/modules/product/src/main/java/com/opengamma/strata/product/index/type/ImmutableOvernightFutureContractSpec.java
@@ -10,8 +10,10 @@
 
 import java.io.Serializable;
 import java.time.LocalDate;
+import java.time.Period;
 import java.time.YearMonth;
 import java.util.NoSuchElementException;
+import java.util.Optional;
 
 import org.joda.beans.ImmutableBean;
 import org.joda.beans.JodaBeanUtils;
@@ -70,6 +72,13 @@ public final class ImmutableOvernightFutureContractSpec
    */
   @PropertyDefinition(validate = "notNull")
   private final DateSequence dateSequence;
+  /**
+   * The accrual period of the future.
+   * <p>
+   * This is the period of time over which the daily interest rate fixing is observed.
+   */
+  @PropertyDefinition(get = "optional")
+  private final Period accrualPeriod;
   /**
    * The method of accruing Overnight interest.
    */
@@ -150,7 +159,7 @@ private OvernightFutureTrade createTrade(
       LocalDate startDate,
       ReferenceData refData) {
 
-    LocalDate nextReferenceDate = dateSequence.baseSequence().next(startDate);
+    LocalDate nextReferenceDate = getFinalReferenceDate(startDate);
     double accrualFactor = startDate.withDayOfMonth(1).until(nextReferenceDate.withDayOfMonth(1), MONTHS) / 12d;
     LocalDate endDate = endDateAdjustment.adjust(nextReferenceDate, refData);
     LocalDate lastTradeDate = lastTradeDateAdjustment.adjust(nextReferenceDate, refData);
@@ -191,7 +200,7 @@ private OvernightFuturePosition createPosition(
       LocalDate startDate,
       ReferenceData refData) {
 
-    LocalDate nextReferenceDate = dateSequence.baseSequence().next(startDate);
+    LocalDate nextReferenceDate = getFinalReferenceDate(startDate);
     double accrualFactor = startDate.withDayOfMonth(1).until(nextReferenceDate.withDayOfMonth(1), MONTHS) / 12d;
     LocalDate endDate = endDateAdjustment.adjust(nextReferenceDate, refData);
     LocalDate lastTradeDate = lastTradeDateAdjustment.adjust(nextReferenceDate, refData);
@@ -216,10 +225,19 @@ public LocalDate calculateReferenceDate(LocalDate tradeDate, SequenceDate sequen
 
   @Override
   public LocalDate calculateLastFixingDate(LocalDate referenceDate, ReferenceData refData) {
-    LocalDate nextReferenceDate = dateSequence.baseSequence().next(referenceDate);
+    LocalDate nextReferenceDate = getFinalReferenceDate(referenceDate);
     return endDateAdjustment.adjust(nextReferenceDate, refData);
   }
 
+  private LocalDate getFinalReferenceDate(LocalDate referenceDate) {
+    if (getAccrualPeriod().isPresent()) {
+      YearMonth finalReferenceMonth = YearMonth.from(referenceDate.plus(getAccrualPeriod().get()));
+      return dateSequence.dateMatching(finalReferenceMonth);
+    } else {
+      return dateSequence.baseSequence().next(referenceDate);
+    }
+  }
+
   //-------------------------------------------------------------------------
   @Override
   public String toString() {
@@ -237,6 +255,7 @@ public String toString() {
               "name",
               "index",
               "dateSequence",
+              "accrualPeriod",
               "accrualMethod",
               "startDateAdjustment",
               "endDateAdjustment",
@@ -246,6 +265,7 @@ public String toString() {
           b -> b.getName(),
           b -> b.getIndex(),
           b -> b.getDateSequence(),
+          b -> b.accrualPeriod,
           b -> b.getAccrualMethod(),
           b -> b.getStartDateAdjustment(),
           b -> b.getEndDateAdjustment(),
@@ -281,6 +301,7 @@ private ImmutableOvernightFutureContractSpec(
       String name,
       OvernightIndex index,
       DateSequence dateSequence,
+      Period accrualPeriod,
       OvernightAccrualMethod accrualMethod,
       BusinessDayAdjustment startDateAdjustment,
       DaysAdjustment endDateAdjustment,
@@ -296,6 +317,7 @@ private ImmutableOvernightFutureContractSpec(
     this.name = name;
     this.index = index;
     this.dateSequence = dateSequence;
+    this.accrualPeriod = accrualPeriod;
     this.accrualMethod = accrualMethod;
     this.startDateAdjustment = startDateAdjustment;
     this.endDateAdjustment = endDateAdjustment;
@@ -343,6 +365,17 @@ public DateSequence getDateSequence() {
     return dateSequence;
   }
 
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the accrual period of the future.
+   * <p>
+   * This is the period of time over which the daily interest rate fixing is observed.
+   * @return the optional value of the property, not null
+   */
+  public Optional<Period> getAccrualPeriod() {
+    return Optional.ofNullable(accrualPeriod);
+  }
+
   //-----------------------------------------------------------------------
   /**
    * Gets the method of accruing Overnight interest.
@@ -422,6 +455,7 @@ public boolean equals(Object obj) {
       return JodaBeanUtils.equal(name, other.name) &&
           JodaBeanUtils.equal(index, other.index) &&
           JodaBeanUtils.equal(dateSequence, other.dateSequence) &&
+          JodaBeanUtils.equal(accrualPeriod, other.accrualPeriod) &&
           JodaBeanUtils.equal(accrualMethod, other.accrualMethod) &&
           JodaBeanUtils.equal(startDateAdjustment, other.startDateAdjustment) &&
           JodaBeanUtils.equal(endDateAdjustment, other.endDateAdjustment) &&
@@ -437,6 +471,7 @@ public int hashCode() {
     hash = hash * 31 + JodaBeanUtils.hashCode(name);
     hash = hash * 31 + JodaBeanUtils.hashCode(index);
     hash = hash * 31 + JodaBeanUtils.hashCode(dateSequence);
+    hash = hash * 31 + JodaBeanUtils.hashCode(accrualPeriod);
     hash = hash * 31 + JodaBeanUtils.hashCode(accrualMethod);
     hash = hash * 31 + JodaBeanUtils.hashCode(startDateAdjustment);
     hash = hash * 31 + JodaBeanUtils.hashCode(endDateAdjustment);
@@ -454,6 +489,7 @@ public static final class Builder extends DirectFieldsBeanBuilder<ImmutableOvern
     private String name;
     private OvernightIndex index;
     private DateSequence dateSequence;
+    private Period accrualPeriod;
     private OvernightAccrualMethod accrualMethod;
     private BusinessDayAdjustment startDateAdjustment;
     private DaysAdjustment endDateAdjustment;
@@ -474,6 +510,7 @@ private Builder(ImmutableOvernightFutureContractSpec beanToCopy) {
       this.name = beanToCopy.getName();
       this.index = beanToCopy.getIndex();
       this.dateSequence = beanToCopy.getDateSequence();
+      this.accrualPeriod = beanToCopy.accrualPeriod;
       this.accrualMethod = beanToCopy.getAccrualMethod();
       this.startDateAdjustment = beanToCopy.getStartDateAdjustment();
       this.endDateAdjustment = beanToCopy.getEndDateAdjustment();
@@ -491,6 +528,8 @@ public Object get(String propertyName) {
           return index;
         case -258065009:  // dateSequence
           return dateSequence;
+        case -1249900464:  // accrualPeriod
+          return accrualPeriod;
         case -1335729296:  // accrualMethod
           return accrualMethod;
         case -1235962691:  // startDateAdjustment
@@ -518,6 +557,9 @@ public Builder set(String propertyName, Object newValue) {
         case -258065009:  // dateSequence
           this.dateSequence = (DateSequence) newValue;
           break;
+        case -1249900464:  // accrualPeriod
+          this.accrualPeriod = (Period) newValue;
+          break;
         case -1335729296:  // accrualMethod
           this.accrualMethod = (OvernightAccrualMethod) newValue;
           break;
@@ -552,6 +594,7 @@ public ImmutableOvernightFutureContractSpec build() {
           name,
           index,
           dateSequence,
+          accrualPeriod,
           accrualMethod,
           startDateAdjustment,
           endDateAdjustment,
@@ -599,6 +642,18 @@ public Builder dateSequence(DateSequence dateSequence) {
       return this;
     }
 
+    /**
+     * Sets the accrual period of the future.
+     * <p>
+     * This is the period of time over which the daily interest rate fixing is observed.
+     * @param accrualPeriod  the new value
+     * @return this, for chaining, not null
+     */
+    public Builder accrualPeriod(Period accrualPeriod) {
+      this.accrualPeriod = accrualPeriod;
+      return this;
+    }
+
     /**
      * Sets the method of accruing Overnight interest.
      * @param accrualMethod  the new value, not null
@@ -670,11 +725,12 @@ public Builder notional(double notional) {
     //-----------------------------------------------------------------------
     @Override
     public String toString() {
-      StringBuilder buf = new StringBuilder(288);
+      StringBuilder buf = new StringBuilder(320);
       buf.append("ImmutableOvernightFutureContractSpec.Builder{");
       buf.append("name").append('=').append(JodaBeanUtils.toString(name)).append(',').append(' ');
       buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
       buf.append("dateSequence").append('=').append(JodaBeanUtils.toString(dateSequence)).append(',').append(' ');
+      buf.append("accrualPeriod").append('=').append(JodaBeanUtils.toString(accrualPeriod)).append(',').append(' ');
       buf.append("accrualMethod").append('=').append(JodaBeanUtils.toString(accrualMethod)).append(',').append(' ');
       buf.append("startDateAdjustment").append('=').append(JodaBeanUtils.toString(startDateAdjustment)).append(',').append(' ');
       buf.append("endDateAdjustment").append('=').append(JodaBeanUtils.toString(endDateAdjustment)).append(',').append(' ');
diff --git a/modules/product/src/main/java/com/opengamma/strata/product/index/type/StandardOvernightFutureContractSpecs.java b/modules/product/src/main/java/com/opengamma/strata/product/index/type/StandardOvernightFutureContractSpecs.java
index e734411a5b..a084767b52 100644
--- a/modules/product/src/main/java/com/opengamma/strata/product/index/type/StandardOvernightFutureContractSpecs.java
+++ b/modules/product/src/main/java/com/opengamma/strata/product/index/type/StandardOvernightFutureContractSpecs.java
@@ -22,6 +22,8 @@
 import static com.opengamma.strata.product.swap.OvernightAccrualMethod.AVERAGED_DAILY;
 import static com.opengamma.strata.product.swap.OvernightAccrualMethod.COMPOUNDED;
 
+import java.time.Period;
+
 import com.opengamma.strata.basics.date.BusinessDayAdjustment;
 import com.opengamma.strata.basics.date.DaysAdjustment;
 
@@ -183,8 +185,9 @@ final class StandardOvernightFutureContractSpecs {
       ImmutableOvernightFutureContractSpec.builder()
           .name("USD-SOFR-3M-IMM-CME")
           .index(USD_SOFR)
-          .dateSequence(QUARTERLY_IMM)
+          .dateSequence(QUARTERLY_IMM_6_SERIAL)
           .accrualMethod(COMPOUNDED)
+          .accrualPeriod(Period.ofMonths(3))
           .notional(1_000_000d)
           .build();
 
diff --git a/modules/product/src/test/java/com/opengamma/strata/product/index/type/OvernightFutureContractSpecTest.java b/modules/product/src/test/java/com/opengamma/strata/product/index/type/OvernightFutureContractSpecTest.java
index b6bed3210f..4e5aa9b114 100644
--- a/modules/product/src/test/java/com/opengamma/strata/product/index/type/OvernightFutureContractSpecTest.java
+++ b/modules/product/src/test/java/com/opengamma/strata/product/index/type/OvernightFutureContractSpecTest.java
@@ -330,6 +330,21 @@ public void test_createPosition_usdFedFund1mCme() {
     assertThat(trade.getProduct().getNotional()).isEqualTo(5_000_000d);
   }
 
+  @Test
+  public void test_createPosition_usdSofr3mCme() {
+    OvernightFutureContractSpec test = OvernightFutureContractSpecs.USD_SOFR_3M_IMM_CME;
+    OvernightFuturePosition trade = test.createPosition(SecurityId.of("OG", "1"), YearMonth.of(2025, 7), 20, REF_DATA);
+    assertThat(trade.getCurrency()).isEqualTo(Currency.USD);
+    assertThat(trade.getQuantity()).isEqualTo(20);
+    assertThat(trade.getProduct().getIndex()).isEqualTo(USD_SOFR);
+    assertThat(trade.getProduct().getAccrualMethod()).isEqualTo(COMPOUNDED);
+    assertThat(trade.getProduct().getAccrualFactor()).isEqualTo(3 / 12d);
+    assertThat(trade.getProduct().getStartDate()).isEqualTo(date(2025, 7, 16));
+    assertThat(trade.getProduct().getEndDate()).isEqualTo(date(2025, 10, 14));
+    assertThat(trade.getProduct().getLastTradeDate()).isEqualTo(date(2025, 10, 14));
+    assertThat(trade.getProduct().getNotional()).isEqualTo(1_000_000d);
+  }
+
   //-------------------------------------------------------------------------
   public static Object[][] data_name() {
     return new Object[][] {