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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 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)
Minimum Price Fluctuation Nearby Delivery Month:  0.0025 IMM Index points (¼ basis point per annum).  $10.4175 per contract.

All Other Delivery Months: 0.005 IMM Index points (½ basis point per annum). $20.835 per contract.

Min Final Settle Fluctuation: 0.001 IMM Index points.
Product Code CME Globex: SR1
CME ClearPort: SR1
Clearing: SR1
Listed Contracts Contracts listed for the nearest 7 Calendar 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 SR1 Settlement Procedures
Position Limits CME Position Limits
Exchange Rulebook CME 461
Block Minimum Block Minimum Thresholds
Price Limit Or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing