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
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 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 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 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
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
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