Contract Unit £2,500 Index Points
Price Quotation Contract IMM Index = 100 minus R

R = compounded daily SONIA interest during contract Reference Interval

Reference Interval: For a given contract, interval from (and including) scheduled Monetary Policy Committee (MPC) announcement date in Contract Month, to (and not including) scheduled MPC announcement date in Delivery Month. 

MPC announcement dates are as published from time to time by Bank of England.
Trading Hours CME Globex: Sunday - Friday 5:00 p.m. - 4:00 p.m. (6:00 p.m. - 5:00 p.m. ET) with a 60-minute break each day beginning at 4:00 p.m. (5:00 p.m. ET)
CME ClearPort: Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT
Minimum Price Fluctuation The minimum price fluctuation shall be 0.0025 Index points (1/4 basis points per annum) as of either (i) the Monday first preceding the date on which the contract’s Reference Interval commences, if such Monday is a Business Day, or (ii) the Business Day next following such Monday, if such Monday is not a Business Day.
Product Code CME Globex: MPC
CME ClearPort: MPC
Clearing: MPC
Listed Contracts Any Reference Intervals for which the Bank of England has published MPC announcement dates.
Settlement Method Financially Settled
Floating Price SONIA is a measure of 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. For any weekday that is not a UK bank holiday (“UK banking day”), SONIA is computed as the transaction-volume-weighted interquartile average of interest rates paid on eligible sterling denominated deposit transactions.
Termination Of Trading Trading terminates at 9am London time on UK banking day immediately following last day of contract Reference Interval.
Settlement Procedures MPC Future Settlement Procedures
Position Limits CME Position Limits
Exchange Rulebook CME 471
Block Minimum Block Minimum Thresholds
Price Limit Or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing

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