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

Exchange
Asset Class
Product
Product Code
 Start Period End Period
Maintenance
Maint. Vol. Scan
CME INTEREST RATES THREE-MONTH SOFR FUTURES SR3 09/2020 09/2020 160 USD 45.000%
CME INTEREST RATES THREE-MONTH SOFR FUTURES SR3 12/2020 03/2021 200 USD 40.000%
CME INTEREST RATES THREE-MONTH SOFR FUTURES SR3 06/2021 09/2021 200 USD 35.000%
CME INTEREST RATES THREE-MONTH SOFR FUTURES SR3 12/2021 03/2022 210 USD 25.000%
CME INTEREST RATES THREE-MONTH SOFR FUTURES SR3 06/2022 09/2022 230 USD 25.000%
CME INTEREST RATES THREE-MONTH SOFR FUTURES SR3 12/2022 09/2023 240 USD 25.000%
CME INTEREST RATES THREE-MONTH SOFR FUTURES SR3 12/2023 03/2025 250 USD 25.000%
CME INTEREST RATES THREE-MONTH SOFR FUTURES SR3 06/2025 03/2030 260 USD 25.000%

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