Chapter 461
One-Month SOFR Futures
46100.

SCOPE OF CHAPTER
This chapter is limited in application to One-Month SOFR futures (“futures” or “contract”). In addition tothis chapter, futures shall be subject to the general rules and regulations of the Exchange insofar as
applicable.
Unless otherwise specified, times referenced herein shall indicate Chicago time.

46101.

CONTRACT SPECIFICATIONSEach contract is valued at $4,167 times the contract-grade IMM Index (Rule 46102.C.).

46102.

TRADING SPECIFICATIONS
46102.A. Trading ScheduleContracts shall be scheduled for trading during such hours and for delivery in such months as may bedetermined by the Exchange.
46102.B. Trading Unit
For a contract for a given delivery month, the unit of trading shall be average daily Secured Overnight
Financing Rate (“SOFR”) interest during such contract’s delivery month, subject to Rule 46103.,
expressed as an interest rate per annum for which (i) such interest rate shall be on the basis of the actual
number of days in such delivery month, divided by a 360-day year, and (ii) each basis point per annumof such interest rate shall be worth $41.67 per futures contract. The SOFR shall be as published by theFederal Reserve Bank of New York (“FRBNY”).
46102.C. Price Basis and Minimum Price Increments
For a contract for a given delivery month, prices shall be quoted and made in terms of the contract IMM
Index (“Index”), 100.0000 minus average daily SOFR during the contract delivery month, as specified inRule 46102.B.
Example: Where the value of such average daily SOFR is 2.0275 percent per annum, it shall bequoted as an Index value of 97.9725.
The minimum price fluctuation shall be 0.005 Index points, equal to $20.835 per contract, provided that:
Where the first day of a contract’s delivery month is a Saturday, a Sunday, or a Monday, theminimum price fluctuation of such contract shall be 0.0025 Index points, equal to $10.4175 percontract, as of the first Trading Day of such contract’s delivery month, until the termination oftrading in such contract.
Where the first day of a contract’s delivery month is a Tuesday, a Wednesday, a Thursday, or aFriday, the minimum price fluctuation of such contract shall be 0.0025 Index points, equal to$10.4175 per contract, as of the Trading Day immediately following the last Sunday of the month
preceding such contract’s delivery month, until the termination of trading in such contract.
46102.D. Position Limits, Exemptions, Position Accountability and Reportable Levels
The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forthin the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special
Notices Section of Chapter 5.
A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to theMarket Regulation Department on forms provided by the Exchange, and the Market Regulation
Department may grant qualified exemptions in its sole discretion.
Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions
from the specified position limits.
46102.E. Special Price Fluctuation Limits
At the commencement of each trading day, the contract shall be subject to special price fluctuation limits
as set forth in Rule 589 and in the Special Price Fluctuation Limits Table in the Interpretations & Special
Notices Section of Chapter 5.
46102.F. [Reserved]
46102.G. Termination of Trading

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Trading in an expiring contract shall terminate at the close of trading on the last Business Day of suchcontract’s delivery month.
46102.H. [Reserved]

46103.

SETTLEMENT PROCEDURES
Delivery shall be by cash settlement.
46103.A. Final Settlement Price
The final settlement price for an expiring contract shall be calculated by the Exchange on the day on
which the FRBNY publishes the SOFR value for the last day of such contract’s delivery month.
The SOFR value for the last day of such delivery month shall be as first published by the FRBNY.
The final settlement price shall be 100 minus the arithmetic average of daily SOFR values during thecontract delivery month. For any day during such delivery month for which the FRBNY does not publish
a SOFR value (eg, a weekend day, a US government securities market holiday), the SOFR value
assigned to such day shall be the SOFR value for the last preceding day for which a SOFR value waspublished.
Such arithmetic average value shall be rounded to the nearest 1/1,000th of one percent per annum, ie,
the nearest 1/10th of one interest rate basis point per annum, or 0.001 Index points. A tie value, ie, anysuch arithmetic average value ending in 0.0005, shall be rounded up.
Example: An arithmetic average value of 2.5915 percent per annum would be rounded up to 2.592
percent per annum, and then subtracted from 100.000 to determine a contract final settlement priceof 97.408 Index points.
46103.B. Final Settlement
Clearing members holding open positions in a contract at the time of termination of trading in such contract
shall make payment to or receive payment from the Clearing House in accordance with normal variation
performance bond procedures based on a settlement price equal to the final settlement price.

46104.-35. [RESERVED](End Chapter 461)

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