Asset Class Navigation

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 06/2020 06/2020 220 USD 45.000%
CME INTEREST RATES THREE-MONTH SOFR FUTURES SR3 09/2020 09/2020 280 USD 40.000%
CME INTEREST RATES THREE-MONTH SOFR FUTURES SR3 12/2020 12/2020 300 USD 40.000%
CME INTEREST RATES THREE-MONTH SOFR FUTURES SR3 03/2021 06/2021 310 USD 35.000%
CME INTEREST RATES THREE-MONTH SOFR FUTURES SR3 09/2021 12/2029 310 USD 25.000%

CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2020 CME Group Inc. All rights reserved.

Disclaimer  |  Privacy Policy  |  Cookie Policy  |  Terms of Use  |  Data Terms of Use  |  Modern Slavery Act Transparency Statement  |  Report a Security Concern