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ICE Three-Month SOFR Index Future82724011

ICE Futures U.S.

ICE Three-Month SOFR Index Future

Description

Cash settled future based on the compounded average of Secured Over Night Financing Rate (“SOFR”) for the referenced quarter

Market Specifications

Trading Screen Product Name
ICE Three Month SOFR Index Futures
Trading Screen Hub Name
ICUS
Contract Size
$2,500 x the Rate Index
Contract Series
March, June, September and December; 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 $25.00 per contract
Rate Index
Business-day compounded average of the Secured Overnight Financing Rate “SOFR” per annum for the quarterly accrual period.
Tick Size
0.00250 Index Points, equal to $6.25 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
One Business Day prior to the third Wednesday of the next quarterly Delivery Month
Contract Symbol
SR3
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 compounded average of the daily SOFR rate for the delivery quarter, calculated as:

Where:
x = the number of SOFR rates determined in the Accrual Period.
N = the number of calendar days in the Accrual Period.
Ai = the overnight return factor in respect of the ith SOFR rate of the Accrual Period, determined as:

And rounded to eight decimal places, 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.
di = the number of days that Si is applied, such that di represents the number of calendar days between the day in respect of which the rate Si is determined and the next day on which a SOFR rate is published.
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
Third Wednesday of the Delivery Month
Last Accrual Date
Business Day prior to the third Wednesday of the next quarterly Delivery Month
Interest Rate Basis
Act/360 Fixed
Position Accountability and Limit Levels
Position Accountability Level, single month and All Months Combined: 10,000 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
Other Information
Statement Regarding Final Settlement Price
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.
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 SR3
Physical
SR3
Logical
SR3
Symbol Code
SR3