MPC 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 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. |
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| Exchange Rulebook | |
| Block Minimum | |
| Price Limit or Circuit | |
| Vendor Codes |
