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

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 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

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.

More on SOFR

Learn about SOFR futures and stay informed of developments within the broader ecosystem including the latest cash issuance tied to SOFR.

CME SOFR Futures

    Want to trade this product? 

    Find a broker