SOFR Futures Price and Implied Rate: 100-Minus-Rate Explained

The word “SOFR futures” does not identify one calculation. Start with the product code, named month-year, price field, timestamp, source, and the contract's current specification. SR1 and SR3 both reference SOFR, but they use different observation windows and final calculations. A price shown without those fields cannot state which rate record it represents.

SOFR itself is a broad measure of the cost of overnight borrowing collateralized by Treasury securities, published by the Federal Reserve Bank of New York. It is not the Federal Reserve's target range or a policy decision. SOFR futures versus Fed Funds futures separates SOFR from EFFR and explains why a rate-futures label must retain its reference rate and calculation window.

Record the quote field too. A last trade, bid, ask, daily settlement, and final settlement are different records. An implied-rate calculation is only as meaningful as the specific field and time it starts from.

CME describes SR1 and SR3 prices in the IMM Index convention of 100 minus R. If the verified price is 96.2500, the arithmetic result is an R of 3.7500 percentage points per annum. That operation reads the rate embedded in that contract's price convention; it does not identify the rate calculation until you also identify the product.

For SR1, R is defined from the arithmetic average of daily SOFR during the contract delivery month. For SR3, R is defined from daily SOFR compounded over its Reference Quarter. The same-looking 100-minus price convention therefore does not make an SR1 price and an SR3 price interchangeable. One-Month versus Three-Month SOFR futures sets out the different periods and calculations.

The inverse direction is useful but limited: holding the exact product and contract definition constant, a lower contract-defined R corresponds to a higher IMM Index price. It does not tell you why the market moved, what a policy committee will decide, or what a different rate product must do.

Before a contract's reference period begins, its price can be read as a market record for the future contract-defined calculation. Once the period is under way, part of the eventual calculation can consist of SOFR observations already published and part can still reflect market pricing for the remaining period. Calling the whole number a simple forecast loses that distinction.

This matters most for a nearby SR3 contract. CME explains that, after the Reference Quarter begins, the contract rate combines known published SOFR values with expectations for the days still remaining in that period. SR1 becomes similarly more constrained by realized daily observations as its delivery month progresses. The remaining uncertainty can shrink without making the live price the official final settlement.

SOFR futures final settlement explains what must happen before an expiring product receives its final exchange-defined value. Keep that final record separate from a live screen price, even when the contract is close to its end.

SOFR futures can be part of market commentary about monetary-policy expectations, but the contract's price remains a market record rather than a vote count or a guarantee. SOFR is an overnight Treasury-repo benchmark, while policy decisions and their transmission to market rates are separate processes. Different contracts may also cover different dates or calculation windows around the same policy meeting.

Avoid shortening a statement such as “the SR3 contract-defined rate changed” into “the next policy rate changed.” A useful observation names the exact contract and says whether it describes a price, the 100-minus contract rate, published SOFR observations, or an external policy measure. This preserves what the data actually says.

For a comparison with 30-Day Federal Funds futures, keep the distinct EFFR benchmark and averaging rule visible. Matching price conventions do not prove matching inputs or outcomes.

An implied contract rate is a quote interpretation, not an account valuation. The relationship between a price move and a position's cash result depends on the exact product, contract unit, number of contracts, trade price, current field, fees, margin, and account rules. A nearby contract's growing set of realized observations does not remove those separate account records.

Futures settlement price versus last trade is useful when deciding which market field a comparison uses. Futures tick value and contract multipliers then separates a quoted movement from the cash value specified by a contract. Use both before describing an account result.

This guide explains a price convention and contract record. It is not a recommendation to trade SOFR futures, predict policy, or value an account. Current exchange rules, reference-rate publications, market data, and account conditions govern an actual position.