One-Month SOFR
Futures and Options
One-Month SOFR Futures - Contract Specs
| Contract Unit | $4,167 x contract-grade IMM Index |
|---|---|
| Price Quotation | Contract IMM Index = 100 minus R R = arithmetic average of Secured Overnight Financing Rate (SOFR) during contract delivery month. |
| Trading Hours | CME Globex: Sunday - Friday 5:00 p.m. - 4:00 p.m. (6:00 p.m. - 5:00 p.m. ET) with a 60-minute break each day beginning at 4:00 p.m. (5:00 p.m. ET) CME ClearPort: Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. - 6:00 p.m. CT |
| Minimum Price Fluctuation | Nearby delivery month: 0.0025 IMM index points (¼ basis point per annum) = $10.4175 All other delivery months: 0.005 IMM index points (½ basis point per annum) = $20.835 Min final settle fluctuation: 0.001 IMM index points |
| Product Code | CME Globex: SR1 CME ClearPort: SR1 Clearing: SR1 |
| Listed Contracts | Monthly contracts listed for 13 consecutive months |
| Settlement Method | Financially Settled |
| Floating Price | Daily transaction-value weighted median interest rate on overnight US Treasury general collateral repurchase transactions, based on data collected by FRBNY from BNY Mellon, the FICC GCF Repo service, and the FICC DVP service. |
| Termination of Trading | Trading terminates on the last business day of the contract month. |
| Settlement Procedures | |
| Position Limits | |
| Exchange Rulebook | |
| Block Minimum | |
| Price Limit or Circuit | |
| Vendor Codes |
About One-Month SOFR
CME SOFR futures offer the leading source of price discovery and liquidity on the Secured Overnight Financing Rate (SOFR), a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. One-Month SOFR futures (SR1) are cash settled and based on the arithmetic average of daily SOFR values during the contract delivery month.
