Sterling Overnight Index Average (SONIA) Futures

CME Group’s SONIA futures offer clients expanded efficiencies and support newly created global, transaction-based indices. Sterling-denominated SONIA futures will trade alongside Eurodollar, Fed Fund and SOFR futures, creating new spread trading and margin offset opportunities.

The Sterling Overnight Index Average (SONIA) is a transaction-based index administered by the Bank of England and endorsed by the Sterling Risk-Free Reference Rate Working Group as the preferred risk-free reference rate for sterling Overnight Indexed Swaps (OIS).

SONIA Futures Trade Data

The SONIA product strip consists of contracts with varying granularity and expiry dates, but with the same underlying, so volume and open interest should be considered in aggregate for MPC and SON.

Globex Product Name Exchange Subgroup Volume Open Interest
SON Quarterly IMM SONIA Futures CME Stirs 3,922 3,188
MPC MPC SONIA Futures CME Stirs 249 300
Trade Date: 12 Oct 2018 | FINAL

Contract Specifications

CME Group will launch two new SONIA futures: a quarterly International Monetary Market (IMM) dated contract observing the recommended specifications of the Working Group on Sterling Risk Free Reference Rates; and a Bank of England Monetary Policy Committee (MPC) meeting dated contract. The MPC SONIA futures contract is designed to meet the needs of market participants who require greater precision in managing exposure between the dates of the MPC meetings.

  Quarterly IMM SONIA Futures MPC SONIA Futures
Contract Unit

Compounded daily SONIA interest during Contract Reference Quarter, such that each basis point per annum of interest = £25 per Contract.

Reference Quarter:  For a given contract, interval from (and including) 3rd Wed of 3rd month preceding Delivery Month, to (and not including) 3rd Wed of Delivery Month.

Compounded daily SONIA interest during Contract Reference Interval, such that each basis point per annum of interest = £25 per Contract.

Reference Interval:  For a given contract, interval from (and including) the scheduled Bank of England Monetary Policy Committee (“MPC”) announcement date preceding the Delivery Month, to (and not including) the scheduled MPC announcement date in the Delivery Month.

Price Basis Contract-grade IMM Index: 100 minus R Contract-grade IMM Index: 100 minus R
Contract Size £2,500 x Contract-grade IMM Index £2,500 x Contract-grade IMM Index
Minimum Price Fluctuation Any Contract with Four Months or Less Until Last Day of Trading: 0.0025 IMM Index points (¼ basis point per annum) equal to £6.25 per Contract

All Other Contracts: 0.005 IMM Index points (½ basis point per annum) equal to £12.50 per Contract
Nearby Contract: 0.0025 IMM Index points (¼ basis point per annum) equal to £6.25 per Contract

All Other Contracts: 0.005 IMM Index points (½ basis point per annum) equal to £12.50 per Contract
Delivery Months Nearest 20 March Quarterly months (Mar, Jun, Sep, Dec). Nearest Reference Intervals for which Bank of England has published MPC announcement dates.
First nearby listed contract: Contract Month = Oct 2018 (i.e., Delivery Month = Nov 2018).

Vendor Codes

  Quarterly IMM SONIA Futures MPC SONIA Futures
CME Globex SON MPC
Bloomberg ONS MPC
Thomson Reuters Globex Chain RICs 0#1SNO: 0#1MPZ:
Thomson Reuters Composite Chain RICs 0#SNO: 0#MPZ:
TT SON MPC
CQG SON MPC
Fidessa SON MPC
FIS/SunGard SON MPC
ION (Pats & FFastFill) SON MPC
Itiviti (Orc and Tbricks) SON MPC
Vela SON MPC

Why Trade CME SONIA Futures

  • Quarterly IMM dated contract observes the recommendations of the Working Group on Sterling Risk-Free Reference Rates
  • MPC meeting dated contract provides exact hedging between Bank of England meeting dates
  • Compounding in both contracts aligns with OTC OIS swap conventions
  • Spread trading opportunities against CME SOFR, Eurodollar and Fed Fund futures
  • Complementary to CME GBP/USD Quarterly FX futures
  • Margin efficiencies from offsets against SOFR, Eurodollar, Fed Fund and Treasury futures
  • Eligible for portfolio margining against CME-cleared swaps in the near future
  • Easy access through 50+ third-party software and API vendors

About the Rate: SONIA Features and Mechanics

  • Endorsed by the Working Group on Sterling Risk-Free Reference Rates as the preferred risk-free reference rate for sterling Overnight Indexed Swaps (OIS).
  • Administered by the Bank of England since April 2016
  • Measures the rate per annum at which interest is paid on sterling short-term wholesale funds in circumstances where credit, liquidity and other risks are minimal
  • Published by the Bank of England at 9.00am London time on the next following UK banking day

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