Three Month SONIA Index Futures

Three Month SONIA Index Futures68361266

Description

Three Month SONIA Index Futures Contract *is a cash settled future based on the interest rate on a three month sterling deposit.

Market Specifications

Trading Screen Product Name
Three Month SONIA
Trading Screen Hub Name
ICEU
Commodity Code
SO3
Unit of Trading
£1,000,000
Minimum Price Fluctuation

Front Quarterly: 0.0025 (£6.25) where 0.01 change in price is equal to £25.00

All other months: 0.005 (£12.50) where 0.01 change in price is equal to £25.00

Where a one Basis Point change in price has a standardized value. In respect of Contracts for a three month period, this is equal to the change in gross interest on the unit of trading for one quarter of a year resulting from a 0.01% change in the interest rate i.e. Click here for formula

Delivery Months
March, June, September, December, such that 24 delivery months are available for trading.
Contract Delivery Months are named by the start date of the accrual period.
Quotation
100.00 minus rate of interest
Last Trading Day
One business day prior to the third Wednesday of the next quarterly Delivery Month trading will cease at 18:00 (London Local Time)
EDSP Publication
Next business day after the Last Trading Day
Algorithm
Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm with a time-weighting of 2 and 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).
EDSP

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:

Click here for formula

where:

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.

Interest Rate Basis
Act/365 Fixed
First Accrual Date
Third Wednesday of the Delivery Month
Last Accrual Date
Business day prior to the Third Wednesday of the next quarterly Delivery Month
Wholesale Service
Basis trading, Block Trading, Asset Allocation
Clearing
ICE Clear Europe
Contract Standard
Cash settlement based on the Exchange Delivery Settlement Price.
Statement in relation to EDSP Formation
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
The “SONIA” mark is used under license from the Bank of England (the benchmark administrator of SONIA), and the use of such mark does not imply or express any approval or endorsement by the Bank of England. “Bank of England” and “SONIA” are registered trademarks of the Bank of England.
MIC Code
IFLL
Clearing Venues
ICEU

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

Codes

Clearing Admin Name
Sonia 3Month
Physical
SO3
Logical
SO3
GMI(FC)
R&N A.C.N.