Your browser is unsupported

Please visit this URL to review a list of supported browsers.

ICE One-Month SOFR Index Future82724010

ICE Futures U.S.

ICE One-Month SOFR Index Future

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
ICE One Month SOFR Index Futures
Trading Screen Hub Name
ICUS
Contract Size
$4,167 x the Rate Index
Contract Series
All twelve calendar months; the number of listed contract months shall be as determined by the Exchange.
Price Quotation
100 minus the numerical value of the Rate Index.
One Interest Rate basis point = 0.01000 Index Points or $41.67 per contract
Rate Index
Daily average of the Secured Overnight Financing Rate “SOFR” for the delivery month.
Tick Size
0.00250 Index Points, equal to $10.4175 per contract.
(Block and EFRP Trades can be priced at .00001 Index point increments)
Trading Hours
8:00 pm to 6:00 pm NY time
Preopen starts 30 minutes prior to the start of trading.
Last Trading Day
Last Business Day of the contract month
Contract Symbol
SR1
Daily Settlement Window
14:58 to 15:00 NY time
Final Settlement
Cash Settlement at expiration, on the Business Day following the Last Trading Day
Final Settlement Price Quotation
The Final Settlement Price shall be determined as 100 minus the Final Settlement Price Rate ("FSPR"). The FSPR shall be the arithmetic average of the daily SOFR rate for the delivery month, calculated as:

Where Si = the ith SOFR Rate of the Accrual Period, expressed in such a way that for a rate of 1% per annum, Si = 0.01.
N = the total number of calendar days in the Accural Period; and for calendar days on which SOFR is not calculated (e.g., Saturdays, Sundays and bank holidays) the rate shall be determined on the most recent business day for which a rate was determined.
First Accrual Date
First calendar day of the contract month.
Last Accrual Date
Last calendar day of the contract month.
Position Accountability and Limit Levels
Position Accountability Level, single month and All Months Combined: 3,000 lots
Daily Price Limit
None
Off Exchange Trade Types
Block: 5 lot Block Minimum Quantity
EFP
EFS
NCR, RL and IPL Levels
IPL Amount: TBD
Recalc Time and Hold Period: TBD
NCR TBD; RL TBD; CSLOR TBD, all in Index Points
MIC Code
IFUS
Clearing Venues
ICUS

Trading Hours

CityTradingPre-Open
New York8:00 PM - 6:00 PM*
20:00 - 18:00
7:30 PM
19:30
London1:00 AM - 11:00 PM*
01:00 - 23:00
12:30 AM
00:30
Singapore9:00 AM - 7:00 AM*
09:00 - 07:00
8:30 AM
08:30

*Next Day

Codes

Clearing Admin Name
ICE US SOFR SR1
Physical
SR1
Logical
SR1
Symbol Code
SR1