ICE Futures Europe One Month SOFR Index Future

ICE Futures Europe One Month SOFR Index Future70005423

Description

Cash settled future based on the average daily Secured Over Night Financing Rate (SOFR) index of the delivery month.

Market Specifications

Trading Screen Product Name
One Month SOFR Future
Trading Screen Hub Name
ICEU
Commodity Code
SF1
Unit of Trading
$10,000 * Rate Index
Delivery Date
One business days after the Last Trading Day
Delivery Months
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
EDSP Publication
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).
Block Trades
Block Trading, Basis Trading, Asset Allocation
Contract Standard
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

Trading Hours

CityTradingPre-Open
New York7:45 PM - 5:00 PM
19:45 - 17:00
7:30 PM
19:30
London12:45 AM - 10:00 PM
00:45 - 22:00
12:30 AM
00:30
Singapore8:45 AM - 6:00 AM
08:45 - 06:00
8:30 AM
08:30

Codes

Clearing Admin Name
SOFR 1Month
Physical
SF1
Logical
SF1
GMI(FC)
R&N A.C.N.