Based on extensive customer input, CME Group launched 3-Month and 1-Month SOFR futures contracts. The 1-Month SOFR strip futures proves useful to participants who seek finer granularity in framing market expectations of future SOFR values over the nearby 1-month to 7-month interval during which the front 3-Month contract becomes more set each day from daily SOFR fixings.
3-Month SOFR Futures
1-Month SOFR Futures
Contract Unit
Compounded daily Secured Overnight Financing Rate (“SOFR”) interest during contract Reference Quarter, such that each basis point per annum of interest = $25 per contract.
Average daily Secured Overnight Financing Rate (“SOFR”) interest during futures contract delivery month, such that each basis point per annum of interest is worth $41.67 per futures contract.
Price Basis
Contract-grade IMM Index: 100 minus R
Contract-grade IMM Index: 100 minus R
Contract Size
$25 per basis point per annum
$41.67 per basis point per annum
Minimum Price Fluctuation
Nearby Delivery Month: 0.0025 IMM Index points (¼ basis point per annum) equal to $6.25 per contract
All Other Delivery Months: 0.005 IMM Index points (½ basis point per annum) equal to $12.50 per contract
Nearby Delivery Month: 0.0025 IMM Index points (¼ basis point per annum) equal to $10.4175 per contract
All Other Delivery Months: 0.005 IMM Index points (½ basis point per annum) equal to $20.835 per contract
Delivery Months
Nearest 20 March Quarterly months (Mar, Jun, Sep, Dec)
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