# Face Value of SOFR futures

What is the face value of CME 1M and 3M SOFR future contracts? The face value of CME 3M Eurodollar Futures is 1 million.

The 3M futures are worth \$2500 per index point and the 1M futures are worth \$4167 per index point.

The index is

$$P = 100 - R$$

where R is the compounded SOFR (annualized) over the reference period.

The contracts don't have a face value (they are defined in terms of the number of dollars per index point) but you can think of the 3M futures as having a \$1 million face value and the 1M futures as having a \$5 million face value, since

$$2500 = 1000000 \times \frac{1}{100} \times \frac{3}{12}$$

$$4167 \approx 5000000 \times \frac{1}{100} \times \frac{1}{12}$$