Three-Month SOFR Futures (SR3) — Contract Specifications
CME · Interest Rates
Priced as 100 minus the expected rate, so 96.50 implies 3.50%. The successor to Eurodollar futures.
Contract specifications
| Exchange symbol | SR3 |
|---|---|
| Exchange | CME |
| Contract size | $2,500 × contract-grade IMM Index |
| Minimum tick | 0.0025 index points (nearest 4 months), 0.005 thereafter |
| Value per tick | $6.25 / $12.50 |
| Contract months | Mar, Jun, Sep, DecMonth codes: H, M, U, Z |
| Settlement | Cash settled to compounded daily SOFR |
| Trading hours | Sun–Fri 18:00–17:00 ET, 60-minute break each day at 17:00 ET |
What one tick is worth
The minimum price increment is 0.0025 index points (nearest 4 months), 0.005 thereafter. Because the contract covers $2,500 × contract-grade IMM Index, each tick is worth $6.25 / $12.50 per contract.
This contract is cash settled, so there is no delivery obligation and no first notice day. Positions settle in cash against the reference price.
Other contracts on this market
| Contract | Size | Per tick |
|---|---|---|
| 30-Day Federal Funds ZQ · CBOT | $5,000,000 face value | $10.4175 / $20.835 |