- Trading Screen Product Name
- One Month SOFR Future
- Trading Screen Hub Name
- ICEU
- Contract Symbol
SF1
- Unit of Trading
$10,000 * Rate Index
- Delivery Date
One business days after the Last Trading Day
- Delivery Month
A maximum of twenty four consecutive delivery months will be
available for trading
- Quotation
100.00 minus the numerical value of the rate of interest
- Minimum Price Fluctuation
0.0025 ($25.00)
- Last Trading Day
The Last business day of the contract month at 17:00 (New York
time)
- Exchange Delivery Settlement Price
Based on SOFR (Secured Over Night Rate) as calculated and published
by the New York Federal Reserve Bank each business day.
In respect of final settlement, the EDSP Rate will be an interest
rate expressed in percent, based on the monthly average SOFR rate
for the delivery month. Where the EDSP Rate is not an exact
multiple of 0.00001, it will be rounded to the nearest 0.00001 or,
where the EDSP Rate is an exact uneven multiple of 0.000005, to the
nearest lower 0.00001. The EDSP shall be determined as 100 minus
the EDSP Rate, rounded as described above
- Effective Date
Publication is as soon as reasonably practicable after 08:00 AM NY
on the business day following the Last Trading Day
- 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).
- Off Exchange Trade Types
Block Trading, Basis Trading, Asset Allocation
- Contract
Cash settlement based on the Exchange Delivery Settlement Price.
- Trading Hours
07:45pm to 5:00pm (New York Local Time)
- Disclaimer
The use of SOFR does not imply or suggest any approval or
endorsement by the benchmark provider of the product listed by ICE
Futures Europe
- MIC Code
- IFLL
- Clearing Venues
- ICEU