Contract Unit $2,500 x contract-grade IMM Index
Price Quotation Contract IMM Index = 100 minus R

R = business-day compounded Secured Overnight Financing Rate (SOFR) per annum during contract Reference Quarter

Reference Quarter:  For a given contract, interval from (and including) 3rd Wed of 3rd month preceding delivery month, to (and not including) 3rd Wed of 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 All contract months with four months or less until last day of trading (as defined in Rulebook section 46002.C): 0.0025 IMM Index points (¼ basis point per annum) = $6.25 

All other contract months: 0.005 IMM Index points (½ basis point per annum) = $12.50

Min Final Settle Fluctuation: 0.0001 IMM Index points.
Product Code CME Globex: SR3
CME ClearPort: SR3
Clearing: SR3
Listed Contracts Quarterly contracts (Mar, Jun, Sep, Dec) listed for 39 consecutive quarters
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 business day prior to the 3rd Wednesday of contract delivery month.
Settlement Procedures SR3 Settlement Procedures
Position Limits CME Position Limits
Exchange Rulebook CME 460
Block Minimum Block Minimum Thresholds
Price Limit Or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing

About Three-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. Three-Month SOFR futures are cash settled and based on a business-day compounded SOFR per annum during contract Reference Quarter. 

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

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