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Quarterly IMM SONIA Futures Contract Specs

Contract Unit £2,500 Index Points
Price Quotation 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.
Trading Hours 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)
Minimum Price Fluctuation Contracts with Four Months or Less Until Termination of Trading:
0.0025 IMM Index points (¼ basis point per annum).
 
All Other Delivery Months:  0.005 IMM Index points (½ basis point per annum).

Min Final Settle Fluctuation: 0.0001 IMM Index points).
Product Code CME Globex: SON
CME ClearPort: SON
Clearing: SON
Listed Contracts Nearest 20 March Quarterly months (Mar, Jun, Sep, Dec) where Contract Month represents beginning of Reference Quarter.  Example Z8 expires 20 March 2019.   List new contract (ie, for 21st delivery month) at opening of CME Globex trading on Sunday preceding last trading day for 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 delivery month,(or on next following UK banking day, if 3rd Wed of Delivery Month is a UK bank 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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