CME Group One-Month SOFR

From MarketsWiki
Jump to navigation Jump to search


DRW logo RGB.png


One-Month SOFR was first officially listed on CME on May 4th, 2020.[1]

One-Month SOFR Futures
Contract Unit $4,167 x contract-grade IMM Index
Price Quotation Contract IMM Index = 100 minus R

R = arithmetic average of Secured Overnight Financing Rate (SOFR) during 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)
Minimum Price Fluctuation Nearby delivery month: 0.0025 IMM index points (¼ basis point per annum) = $10.4175

All other delivery months: 0.005 IMM index points (½ basis point per annum) = $20.835

Min final settle fluctuation: 0.001 IMM index points

Product Code CME Globex: SR1

CME ClearPort: SR1

Clearing: SR1

Listed Contracts Monthly contracts listed for 13 consecutive 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 last business day of the contract month.
Settlement Procedures SR1 Settlement Procedures
Position Limits CME Position Limits
Exchange Rulebook CME 461
Block Minimum Block Minimum Thresholds
Price Limit or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
One-Month SOFR Options
Contract Unit 1 One-Month SOFR futures contract
Minimum Price Fluctuation One-quarter of one basis point (0.0025) = $10.4175 per contract
Price Quotation U.S. dollars and cents per index point
Trading Hours CME Globex: 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)
CME ClearPort: Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT
Open Outcry: Monday - Friday 7:20 AM - 2:00 PM CT
Product Code CME Globex: SR1

CME ClearPort: SR1

Open Outcry: S1O

Clearing: SR1

Listed Contracts Monthly contracts listed for 4 consecutive months
Termination of Trading Trading terminates on the last business day of the contract month.
Position Limits CME Position Limits
Exchange Rulebook CME 461A
Block Minimum Block Minimum Thresholds
Price Limit or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing
Strike Price Listing Procedures Strike prices will be listed in increments of 6.25 basis points (0.0625) and 12.5 basis points (0.1250). The following strike prices in increments of 6.25 basis points will be listed: the at-the-money strike price closest to the current futures price plus the next ten consecutive higher and the next ten consecutive lower strike prices. Above and below this band, the following strike prices in increments of 12.5 basis points shall be listed: the next five (5) consecutive higher and the next five (5) consecutive lower strike prices.
Exercise Style American Style. Option may be exercised by purchaser on any day that option is traded. Option purchaser’s clearing member firm must notify CME Clearing of intention to exercise no later than 5:30 p.m. on day of exercise. All expiring options outstanding and unexercised at Termination of Trading shall expire at 5:30 p.m. on Last Day of Trading and, absent contrary instruction, shall be automatically exercised.
Settlemnt Method Deliverable
Underlying One-Month SOFR Futures

Notes[edit]

References[edit]

<

Resources[edit]

One-Month SOFR Contract Specs