One Month SONIA Index Futures

One Month SONIA Index Futures66380299

Description

Cash settled future based on the average Sterling Over Night Index Average (SONIA) rate on a one month sterling deposit.

Market Specifications

Trading Screen Product Name
One Month Sonia
Trading Screen Hub Name
ICEU
Commodity Code
SOA
Unit of Trading
£3,000,000
Delivery Date
One business day after the Last Trading Day
Delivery Months
A maximum of twenty four consecutive delivery months will be available for trading
Quotation
100.00 minus rate of interest
Minimum Price Fluctuation
0.005 (£12.50)
Last Trading Day
The Last business day of the contract month at 18:00 (London time)
Exchange Delivery Settlement Price
As soon as reasonably practicable after 09:00 on the business day following the Last Trading Day.

Based on SONIA (Sterling Over Night Index Average) as calculated and published by the Benchmark Administrator or its Calculation Agent each business day. In respect of final settlement, the EDSP Rate will be an interest rate expressed in percent, based on the monthly average SONIA rate for the delivery month. Where the EDSP Rate is not an exact multiple of 0.0001, it will be rounded to the nearest 0.0001 or, where the EDSP Rate is an exact uneven multiple of 0.00005, to the nearest lower 0.0001. EDSP shall be determined as 100 minus the EDSP Rate, determined as described above.
Algorithm
Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm with priority given to the first order at the best price subject to a minimum order size (collar) and limited to a maximum order size (cap).
Block Trades
Block Trading, Basis Trading, Asset Allocation
Contract Standard
Cash settlement based on the Exchange Delivery Settlement Price.
Other Information
The contracts have a standardised basis point value so that, for hedging purposes, a calculation will need to be made in relation to the hedge ratio to take into account any mismatch between the standardized basis point value and the actual basis point value of the position being hedged, determined by the actual number of days in the accrual period.
Disclaimer of Liability
SONIA is a registered trade mark of the Bank of England. The use of such mark does not imply or express any approval or endorsement by the Bank of England
MIC Code
IFLL
Clearing Venues
ICEU
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Trading Hours

CityTradingPre-Open
New York2:30 AM - 1:00 PM
02:30 - 13:00
1:03 AM
01:03
London7:30 AM - 6:00 PM
07:30 - 18:00
6:03 AM
06:03
Singapore3:30 PM - 2:00 AM
15:30 - 02:00
2:03 PM
14:03
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Codes

Clearing Admin Name
Sonia Master
Physical
SOA
Logical
SOA
GMI(FC)
R&N A.C.N.