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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. 

Ratio Side Start Period End Period Maintenance
CME INTEREST RATES 1M SOFR FUTURES SR1 1

2

1
A

B

A
08/2020

09/2020

10/2020
08/2020

09/2020

10/2020
440 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
08/2020

09/2020
08/2020

09/2020
440 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1

1

1
A

B

B

A
08/2020

09/2020

10/2020

11/2020
08/2020

09/2020

10/2020

11/2020
490 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

2

1
A

B

A
08/2020

10/2020

12/2020
08/2020

10/2020

12/2020
465 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
08/2020

10/2020
08/2020

10/2020
450 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1

1

1
A

B

B

A
08/2020

10/2020

12/2020

02/2021
08/2020

10/2020

12/2020

08/2021
490 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

2

1
A

B

A
08/2020

11/2020

02/2021
08/2020

11/2020

08/2021
530 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
08/2020

11/2020
08/2020

11/2020
460 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
08/2020

12/2020
08/2020

12/2020
500 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
08/2020

01/2021
08/2020

01/2021
570 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
08/2020

02/2021
08/2020

08/2021
625 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
09/2020

10/2020
09/2020

10/2020
290 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1

1

1
A

B

B

A
09/2020

10/2020

11/2020

12/2020
09/2020

10/2020

11/2020

12/2020
235 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

2

1
A

B

A
09/2020

10/2020

11/2020
09/2020

10/2020

11/2020
210 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

2

1
A

B

A
09/2020

11/2020

01/2021
09/2020

11/2020

01/2021
300 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
09/2020

11/2020
09/2020

11/2020
395 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
09/2020

12/2020
09/2020

12/2020
440 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
09/2020

01/2021
09/2020

01/2021
480 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
09/2020

02/2021
09/2020

08/2021
540 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
10/2020

11/2020
10/2020

11/2020
150 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1

1

1
A

B

B

A
10/2020

11/2020

12/2020

01/2021
10/2020

11/2020

12/2020

01/2021
120 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

2

1
A

B

A
10/2020

11/2020

12/2020
10/2020

11/2020

12/2020
110 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

2

1
A

B

A
10/2020

12/2020

02/2021
10/2020

12/2020

08/2021
170 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
10/2020

12/2020
10/2020

12/2020
255 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
10/2020

01/2021
10/2020

01/2021
350 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
10/2020

02/2021
10/2020

08/2021
425 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1

1

1
A

B

B

A
11/2020

12/2020

01/2021

02/2021
11/2020

12/2020

01/2021

08/2021
110 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
11/2020

12/2020
11/2020

12/2020
130 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

2

1
A

B

A
11/2020

12/2020

01/2021
11/2020

12/2020

01/2021
95 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
11/2020

01/2021
11/2020

01/2021
235 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
11/2020

02/2021
11/2020

08/2021
300 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
12/2020

01/2021
12/2020

01/2021
110 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

2

1
A

B

A
12/2020

01/2021

02/2021
12/2020

01/2021

08/2021
110 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
12/2020

02/2021
12/2020

08/2021
150 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
A

B
01/2021

02/2021
01/2021

08/2021
85 USD
CME INTEREST RATES 1M SOFR FUTURES SR1 1

1
B

A
02/2021

02/2021
08/2021

08/2021
165 USD