CME:SR3 Three(3)-Month SOFR Futures (Secured Overnight Financing Rate Futures) prices chart

Three-Month SOFR Futures (Secured Overnight Financing Rate (SOFR) Futures) (CME:SR3) :
The CME SOFR is a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities.

Product Code: CME Globex: SR3, CME ClearPort: SR3, Clearing: SR3
Contract Unit: $2,500 x contract-grade IMM Index

Price Quotation: Contract IMM Index = 100 minus R
(1) R = business-day compounded Secured Overnight Financing Rate (SOFR) per annum during contract Reference Quarter
(2) 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.

Minimum Price Fluctuation:
(1) 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
(2) All other contract months: 0.005 IMM Index points (½ basis point per annum) = $12.50
(3) Min Final Settle Fluctuation: 0.0001 IMM Index points.

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.

Listed Contracts: Quarterly contracts (Mar, Jun, Sep, Dec) listed for 39 consecutive quarters

Termination Of Trading: Trading terminates on the business day prior to the 3rd Wednesday of contract 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)


About SOFR (Secured Overnight Financing Rate):
(1) Endorsed by the Fed-sponsored Alternative Reference Rates Committee (ARRC) to be used in the USD marketplace
(2) Published by the Federal Reserve Bank of New York in cooperation with the U.S. Office of Financial Research since April 3, 2018
(3) Financially distinct but highly correlated with existing money market rates such as ICE LIBOR and Effective Federal Funds Rate (EFFR)
(4) Underpinned by the U.S. Treasury overnight repurchase (repo) market, for which the pool of eligible transactions is ~$750 billion per day
(5) Calculated as a transaction-volume-weighted median repo rate
(6) Data sourced from tri-party repo data from Bank of New York Mellon (BNYM), and cleared bilateral and GCF Repo data from the Depository Trust & Clearing Corporation (DTCC)
(7) Recognized by S&P Global Ratings as an “anchor money market reference rate”