ICE Futures Europe Three Month SOFR Index Future

ICE Futures Europe Three Month SOFR Index Future70005442

Description

Cash settled future based on the compounded average of SOFR for the referenced quarter.

Market Specifications

Trading Screen Product Name
Three Month SOFR Future
Trading Screen Hub Name
ICEU
Commodity Code
SF3
Unit of Trading
$10,000 * Rate Index
Minimum Price Fluctuation
0.0025 ($25.00)
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 the numerical value of the rate of interest
Last Trading Day
One business day prior to the third Wednesday of the next quarterly Delivery Month trading will cease at 17:00 (New York 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).
Exchange Delivery Settlement Price

100 minus the EDSP Rate, determined as described below.

Based on SOFR (Secured Over Night Financing Rate) as calculated by the New York Federal Reserve Bank each business day, the EDSP Rate represents the effective rate of interest achieved by reinvesting at SOFR for each day of the accrual period of the contract. The following formula shall be applied:

Click here for formula

where:

S_i = SOFR 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 SOFR 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 0.00001, 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 0.00001.0.0

Interest Rate Basis
Act/360 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
Trading Hours
07:45pm to 5:00pm (New York Local Time)
Wholesale Service
Basis trading, Block Trading, Asset Allocation
Clearing
ICE Clear Europe
Contract Standard
Cash settlement based on the Exchange Delivery Settlement Price.
Statement Regarding EDSP
The contracts have a standardized 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 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 3Month
Physical
SF3
Logical
SF3
GMI(FC)
R&N A.C.N.