CME Three-month SOFR Futures
CONTRACT SPECIFICATIONS
| CME Three-month SOFR Futures | |
|---|---|
| Contract Unit | $2,500 × contract-grade IMM Index |
| Price Quotation |
Contract-grade 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 |
CME Globex: CME ClearPort: |
| 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 and the nearest 6 serial contract months |
| 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 |
