Contract Unit Contract IMM Index = 100 minus R

R = compounded daily SONIA interest during contract Reference Quarter

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.
Price Quotation G.B. pounds per index point
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 0.0025 IMM Index points (1/4 basis point per annum) = £6.25
Final Settlement: 0.0001 IMM Index points
Product Code CME Globex: SON
CME ClearPort: SON
Clearing: SON
Listed Contracts Quarterly contracts (Mar, Jun, Sep, Dec) listed for 20 consecutive quarters. List new quarterly contracts at opening of CME Globex trading on Sunday prior to the termination of trading in the nearby contract.
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 9:00 am London time on the 3rd Wednesday of the last month in the quarter, (or on the next London business day, if the 3rd Wednesday is a London banking holiday).
Position Limits CME Position Limits
Exchange Rulebook CME 470
Block Minimum Block Minimum Thresholds
Price Limit Or Circuit Price Limits
Vendor Codes Quote Vendor Symbols Listing

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