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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 S_i = the i^th SOFR Rate of the Accrual Period, expressed in such a way that for a rate of 1% per annum, S_i = 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

Related Products

• ICE Three-Month SOFR Index Future

Trading Hours

Codes