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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. 

Start Period End Period
CME INTEREST RATES ONE-MONTH SOFR FUTURES SR1 10/2019 10/2019 490 USD 8.000%
CME INTEREST RATES ONE-MONTH SOFR FUTURES SR1 11/2019 11/2019 505 USD 8.000%
CME INTEREST RATES ONE-MONTH SOFR FUTURES SR1 12/2019 12/2019 545 USD 8.000%
CME INTEREST RATES ONE-MONTH SOFR FUTURES SR1 01/2020 01/2020 630 USD 8.000%
CME INTEREST RATES ONE-MONTH SOFR FUTURES SR1 02/2020 02/2020 650 USD 8.000%
CME INTEREST RATES ONE-MONTH SOFR FUTURES SR1 03/2020 03/2020 720 USD 8.000%
CME INTEREST RATES ONE-MONTH SOFR FUTURES SR1 04/2020 10/2020 800 USD 8.000%