Three Month SONIA Index Futures Contract *is a cash settled future based on the interest rate on a three month sterling deposit.
100 minus the EDSP Rate, determined as described below.
Based on SONIA (Sterling Over Night Index Average) as calculated by the Benchmark Administrator each business day, the EDSP Rate represents the effective rate of interest achieved by reinvesting at SONIA for each day of the accrual period of the contract. The following formula shall be applied:
S_i = SONIA rate on the i^th day of the accrual period
d_i= the number of days that the value S_i is applied
x = the number of SONIA fixings used in the accrual period
N = the total number of days for which the x fixings are applied, i.e. the number of calendar days in the accrual period
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.
|New York||2:30 AM - 1:00 PM|
02:30 - 13:00
|London||7:30 AM - 6:00 PM|
07:30 - 18:00
|Singapore||2:30 PM - 1:00 AM|
14:30 - 01:00