3-Month SOFR Futures Margin & Contract Specifications

What Is the 3-Month SOFR Futures Contract?

The 3-Month SOFR futures contract is based on the three-month SOFR rate. The Secured Overnight Financing Rate (SOFR) is a broad measure of the cost of overnight cash borrowing collateralized by U.S. Treasury securities.

SOFR incorporates transactions from all Broad General Collateral Rate (BGCR) trades, as well as bilateral U.S. Treasury repurchase agreement (repo) transactions that are cleared through the Fixed Income Clearing Corporation (FICC) via its Delivery-versus-Payment (DVP) service. Based on these data, SOFR is calculated as a volume-weighted median rate.

The 3-Month SOFR futures (SR3) track the compounded average of daily SOFR for each business day over a quarterly (three-month) period.

Factors Affecting the Price of 3-Month SOFR Futures

1. U.S. Federal Reserve (Fed) Monetary Policy and Interest Rate Decisions

SOFR is based on the U.S. overnight secured repo rate, making the policy rate the most fundamental determinant of SOFR. When the market expects the Fed to cut rates, SOFR tends to face downward pressure. If a Federal Open Market Committee (FOMC) meeting is scheduled within the next three months, market expectations regarding the probability of rate hikes or cuts are directly reflected in 3-month SOFR pricing.
The Overnight Reverse Repo (ON RRP) rate, which the Fed pays to money market funds (MMFs), typically acts as a “floor” for SOFR, preventing rates from falling below this level. The Interest on Reserve Balances (IORB), paid by the Fed to banks, usually serves as a “ceiling” reference for SOFR.

2. Supply and Demand in the Repo Market

SOFR essentially reflects the cost of borrowing cash collateralized by U.S. Treasury securities. When money market funds have ample liquidity and more cash is being lent into the market, SOFR often faces downward pressure.
When the Fed conducts quantitative tightening (QT) and reduces its balance sheet, reserves in the banking system decline, potentially tightening funding conditions and pushing SOFR higher.

3. Economic Data

Economic indicators such as the Consumer Price Index (CPI), core inflation (PCE), and Nonfarm Payrolls (NFP) can shift policy expectations and, in turn, influence the direction of SOFR.

4. Seasonal Factors and Regulatory Constraints

At certain times, the market may experience technical volatility. For example, at quarter-end or fiscal year-end, banks may reduce repo market activity to improve balance sheets and meet regulatory requirements. This can temporarily constrain funding supply and cause sharp, short-term spikes in SOFR.
During U.S. tax payment seasons—such as April or September—corporations and individuals withdraw cash from money markets to pay taxes, temporarily reducing market liquidity and pushing interest rates higher.

5. Market Risk Events

When banks or financial institutions face failures, liquidity stress, repo market dysfunction, or systemic risk events, markets tend to shift toward risk aversion and deleveraging. Institutions become more willing to lend only against collateral and reduce unsecured lending. This increases demand for repo transactions—especially overnight repos backed by U.S. Treasuries—making SOFR more prone to upward pressure.

Three-Month SOFR Futures Margin

How much money is needed to trade futures? At the beginning, the required margin is the initial margin. While holding a position, the margin after deducting floating profits and losses must remain above the maintenance margin; otherwise, a margin call will be issued. For day-trading margin, only half of the margin is required, provided the position is closed before the market closes.

Foreign Futures

Three-Month SOFR Futures Contract Specifications

Here is a summary for traders of the contract specifications, exchange, trading hours, minimum price fluctuation, and available trading months for Three-Month SOFR FuturesFutures.

Three-Month SOFR FuturesLast Trading Day

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