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 Future
- 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
- 07:45 pm to 5:00 pm NY time
Preopen starts 15 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 - MIC Code
- IFUS
- Clearing Venues
- ICUS
Related Products
Trading Hours
| City | Trading | Pre-Open |
|---|---|---|
| NEW YORK | 7:45 PM - 5:00 PM* 19:45 - 17:00 | 7:30 PM 19:30 |
| LONDON | 12:45 AM - 10:00 PM 00:45 - 22:00 | 12:30 AM 00:30 |
| SINGAPORE | 8:45 AM - 6:00 AM* 08:45 - 06:00 | 8:30 AM 08:30 |
*Next Day
Codes
- Clearing Admin Name
- ICE US SOFR SR1
- Physical
- SR1
- Logical
- SR1
- GMI (FC)
- ION A.C.N.
- Symbol Code
- SR1