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).
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 | 0 | 64 |
| MPC | MPC SONIA Futures | CME | Stirs | 0 | 0 |
SOFR Futures
Learn about SOFR futures and the underlying Secured Overnight Financing Rate (SOFR). View contract specs, trading resources, and more.
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). |
| 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 |
- 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
- 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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