Interest Rate Futures Settlements

As part of CME Group’s efforts to provide more timely and standardized market data, we have moved from manual distribution of STIR futures final settlements to automated publication over our market data channels.  The One-Month and Three-Month SOFR, Fed Funds, and IMM & MPC SONIA contracts have been added to MDP channels in recent months, and sources for settlements in report form are also included below.

Real-time values via Market Data Platform channels

  • Channels 251 & 252 – CME & CBOT CME & CBOT Settlement & Valuations
  • Channels 312 & 348 – CME & CBOT Globex Interest Rate Futures
  • For direct connection info contact GAM_CPM@cmegroup.com

Daily Bulletins

End of day settlement file downloads

30-Day Fed Funds Settlement

APR 2021 FED FUNDS FUTURES SETTLE @ 99.931

Fed Funds Futures for Apr 2021 have been settled to a final settlement of 99.931 implying a daily Effective Federal Funds Rate of 0.069 percent


One-Month SOFR Futures Settlement

APR 2021 ONE-MONTH SOFR FUTURES SETTLE @ 99.990

One-Month SOFR Futures for Apr 2021 have been settled to a final settlement of 99.990 implying a daily Secured Overnight Financing Rate of 0.010 percent


Three-Month SOFR Futures Settlement

Dec 2020 Three-Month SOFR Futures Settle @ 99.9464

Three-Month SOFR Futures for Dec 2020 have been settled to a final price of 99.9464, implying a daily Secured Overnight Financing Rate of 0.0536 percent per annum


MPC SONIA Futures Settlement

Mar MPC SONIA Futures Settle @ 99.9515

MPC SONIA Futures for Mar 2020 (May MPC meeting) have been settled to a final settlement of 99.9515, implying a daily Sterling Overnight Rate of 0.0485 percent


Quarterly IMM SONIA Futures Settlement

Dec 2020 IMM SONIA Futures Settle @ 99.9515

IMM SONIA Futures for Dec 2020 have been settled to a final price of 99.9515 implying a daily Overnight SONIA Rate of 0.0485 percent per annum

For more information, please contact:

Jonathan Kronstein
+1 312 930 3472

David Reif
+1 312 648 3839

Frederick Sturm
+1 312 930 1282