Three-Month SOFR rollover dates

Tick

$12.500.005 per tick

One point

$2,500per contract

Initial margin

$539exchange, as of 27 Oct 2026

Front contract

SR3Z26roll by 9 Mar 2027

Calendar as of 27 Oct 2026How we source this

The expiry rule for this contract is modelled and still needs checking against the exchange calendar.

Next contracts

Futures contracts expire, so a trader who wants to keep a position must close the expiring contract and open the next one: the roll. For Three-Month SOFR (SR3) the current front contract is SR3Z26, with a last trading day of 16 Mar 2027. The next contract is SR3H27.

The exchange rule we apply for SR3: Last trade: business day before the 3rd Wednesday of the month three months after the contract month (end of the reference quarter). Cash settled. SR3 is cash-settled: positions still open at expiry are closed against a final settlement price, with no delivery of anything.

The suggested roll date of 9 Mar 2027 is a convention, not an exchange rule. It is set a little before the first notice or last trading day, because liquidity moves to the next contract and many brokers require positions to be closed or rolled before then. Dates are calculated from the exchange's rules and its holiday calendar; for this product the rule is modelled and should be checked against the exchange calendar before you rely on it. The exchange calendar is the authority.

Roll convention: Suggested roll: 5 business days before last trade. A convention, not an exchange rule. Exchange calendar: https://www.cmegroup.com/markets/interest-rates/stirs/three-month-sofr.calendar.html

Days to rollover

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