Asset Class Navigation

One-Month SOFR Margins

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. 

Start Period End Period
CME INTEREST RATES ONE-MONTH SOFR FUTURES SR1 11/2019 01/2020 500 USD 8.000%
CME INTEREST RATES ONE-MONTH SOFR FUTURES SR1 02/2020 02/2020 550 USD 8.000%
CME INTEREST RATES ONE-MONTH SOFR FUTURES SR1 03/2020 03/2020 600 USD 8.000%
CME INTEREST RATES ONE-MONTH SOFR FUTURES SR1 04/2020 04/2020 700 USD 8.000%
CME INTEREST RATES ONE-MONTH SOFR FUTURES SR1 05/2020 11/2020 800 USD 8.000%