CME Group Three-Month SOFR

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The CME Group's 3-Month SOFR futures contract is a derivative financial product that allows market participants to hedge against or speculate on changes in the Secured Overnight Financing Rate (SOFR), which serves as an alternative reference rate to LIBOR. This futures contract is based on the SOFR, which reflects the cost of borrowing cash overnight collateralized by U.S. Treasury securities. It provides market participants with a tool to manage interest rate risk associated with SOFR-based financial instruments, offering liquidity, transparency, and efficiency in trading.

Three-Month SOFR futures
Exchange CME
Settlement Cash settled
Contract Size $2,500 x contract-grade IMM Index
Pricing Unit $25
Tick Value $12.50
Contract Months Quarterly contracts (Mar, Jun, Sep, Dec)
Last Trading Day Trading terminates on the business day prior to the 3rd Wednesday of contract delivery month.
Note: This contract is electronic ONLY -- no open outcry
  No Open Outcry Electronic
Trading Hours N/A 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
Ticker Symbol N/A SR3
Price Limits N/A 50 basis points