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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

Contract Symbol

SF3

Unit of Trading

$10,000 * Rate Index

Minimum Price Fluctuation

0.0025 ($25.00)

Delivery Month

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)

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

EDSP publication is the next business day after the Last Trading Day

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

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 greater than or equal to 0.000005, it will be rounded up to the nearest 0.00001.

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

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

Related Products

• ICE Futures Europe One Month SOFR Index Future
• Three Month Euribor ® Futures
• Three Month SONIA Index Futures
• ICE Futures Europe Three Month SOFR Index Future
• One Month ESTR Index Futures

Trading Hours

Codes