CME:SR1 One(1)-Month SOFR Futures (Secured Overnight Financing Rate Futures) prices chart

One(1)-Month SOFR Futures (Secured Overnight Financing Rate Futures) (CME:SR1) :
The CME SOFR is a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities.

Product Code: CME Globex: SR1, CME ClearPort: SR1, Clearing: SR1
Contract Unit: $4,167 x contract-grade IMM Index

Price Quotation:
(1) Contract IMM Index = 100 minus R
(2) R = arithmetic average of Secured Overnight Financing Rate (SOFR) during contract delivery month.

Minimum Price Fluctuation :
(1) Nearby delivery month: 0.0025 IMM index points (¼ basis point per annum) = $10.4175
(2) All other delivery months: 0.005 IMM index points (½ basis point per annum) = $20.835
(3) Min final settle fluctuation: 0.001 IMM index points

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.

Settlement Method: Financially Settled

Listed Contracts: Monthly contracts listed for 13 consecutive months

Termination Of Trading: Trading terminates on the last business day of the contract 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”

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Comparison 5Ag(M) 5Ag(W) 5Ag(D) 3Ag(MWD) 2Ag(MWD) 2Ag(MWD-VR) Wheat(M) Wheat(MWD) Soy(M) Soy(W) Soy(D) Soy(MWD) Soft(M) Soft(W) Soft(D) Soft(MWD) ICEUS-Soft(MWD) ICEEU-Soft(MWD) Sugar(MWD) Coffee(MWD) Cocoa(MWD) Cotton(MWD) Meat(M) Meat(W) Meat(D) Meat(MWD)

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Comparison Metal(M) Metal(W) Metal(D) Metal(MWD)

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Comparison 3Oil(M) 3Oil(W) 3Oil(D) 3Oil(MWD) NGas(M) NGas(W) NGas(D) NGas(MWD)

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