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Three-Month SOFR Futures (SR3) Contract Specifications

What you're trading

The CME Three-Month SOFR future (SR3) is the U.S. short-term interest rate benchmark contract that replaced Three-Month Eurodollar futures after LIBOR's cessation. SR3 is priced as 100 minus the expected compounded SOFR (Secured Overnight Financing Rate) over a three-month reference quarter — so a contract price of 96.50 implies a 3.50% expected rate. SR3 is the primary market signal for Fed policy expectations at specific future points in time, and a strip of consecutive SR3 contracts forms a synthetic forward curve used by banks, swap dealers, and macro traders to hedge and speculate on Fed policy.

Contract size

$2,500 × contract-grade IMM Index (100 minus Rate). 

Tick value

Minimum price fluctuation is 0.0025 IMM Index points (¼ basis point) equal to $6.25 per contract for contracts with four months or less to expiration; 0.005 IMM Index points (½ basis point) equal to $12.50 per contract for all other contracts. One full basis point of rate change equals $25 per contract.

Trading hours

CME Globex: Sunday 5:00 p.m. CT through Friday 4:00 p.m. CT, with the 4:00–5:00 p.m. CT maintenance halt Monday through Thursday.

Settlement type

Cash-settled. Final settlement price is 100 minus the compounded daily SOFR over the contract's reference quarter (the interval from the 3rd Wednesday of the 3rd month preceding the delivery month to, but not including, the 3rd Wednesday of the delivery month). The nearest 39 March-quarterly contracts are listed, giving nearly 10 years of forward rate expectations.

Margin snapshot

SR3 margin is modest in dollar terms relative to Treasury futures because each contract has lower outright price volatility — one basis point is $25. That said, traders commonly hold strips of many contracts, and aggregate exposure can add up quickly.

Initial margin (overnight)

~$300–$600 per contract (approximate; varies with volatility)

Maintenance margin

~$270–$550 per contract

Day-trade margin

Broker-set; often a fraction of overnight margin

Heuristic notional (reference)

$1,000,000 of 3-month exposure

Margins change with market volatility and vary by broker. The figures above are approximate and for reference only — always confirm current requirements with MetroTrade support or on the CME margin page before trading.

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