Chapter 470
Quarterly IMM SONIA Futures
47000.

SCOPE OF CHAPTER
This chapter is limited in application to Quarterly IMM SONIA futures (“futures” or “contract”). In
addition to this 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.

47001.

CONTRACT SPECIFICATIONSEach contract is valued at £2,500 times the contract-grade IMM Index (Rule 47002.C.).

47002.

TRADING SPECIFICATIONS
47002.A. Trading Schedule
Contracts shall be scheduled for trading during such hours and for delivery in such months as may
be determined by the Exchange.
47002.B. Trading Unit
For a contract for a given delivery month, the unit of trading shall be compounded daily Sterling
Overnight Index Average (“SONIA”) interest during the contract Reference Quarter (Rule47003.A.1.), expressed as an interest rate per annum for which (i) such interest rate shall accrue
on the basis of the actual number of days spanned by such contract Reference Quarter, divided bya 365-day year, and (ii) each basis point per annum of such interest rate shall be worth £25 perfutures contract. SONIA shall be as published by the Bank of England (“BOE”).
47002.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 compounded daily SONIA interest during the contract
Reference Quarter, as specified in Rule 47002.B.
Example: Where the value of such compounded daily SONIA is 2.055 percent per annum, it
shall be quoted as an Index value of 97.9450.
The minimum price fluctuation shall be 0.0025 Index points, equal to £6.25 per contract.
47002.D. Position Limits, Exemptions, Position Accountability and Reportable Levels
The applicable position limits and/or accountability levels, in addition to the reportable levels, areset forth in the Position Limit, Position Accountability and Reportable Level Table in theInterpretations & Special Notices Section of Chapter 5.
A Person seeking an exemption from position limits for bona fide commercial purposes shall apply
to the Market Regulation Department on forms provided by the Exchange, and the MarketRegulation 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.
47002.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.
47002.F. [Reserved]
47002.G. Termination of Trading
Trading in an expiring contract shall terminate at 9:00 a.m. London time on the third Wednesday ofthe contract delivery month.
47002.H. [Reserved]

47003.

SETTLEMENT PROCEDURES
Delivery shall be by cash settlement.
47003.A. Final Settlement Price
1. Definition of Reference Quarter© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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For a contract for a given delivery month, the Reference Quarter shall be the interval that ends on(and does not include) the third Wednesday of the contract delivery month, and that begins on (andincludes) the third Wednesday of the third calendar month preceding the contract delivery month.
Example: For a hypothetical contract for which the delivery month is March 2022, the contract
Reference Quarter shall start on (and shall include) the third Wednesday of December 2021
(December 15, 2021) and shall end on (and shall not include) the third Wednesday of March2022 (March 16, 2022).
2. Definition of Final Settlement Price
For a contract for a given delivery month, the Final Settlement Price shall be 100 minus
compounded daily SONIA during the contract Reference Quarter (“R”), as follows:
Final Settlement Price = 100 minus R
whereR =[ Πi=1…n {1+(di /365)*(ri /100)} – 1 ] x (365/D) x 100n =the number of weekdays that are not UK bank holidays (“UK banking days”) during
such Reference Quarter.

iis the running variable that indexes each UK banking day in such Reference Quarter,
such that i takes the values i = 1,2,…,(n-1),n.

Πi=1…ndenotes the product of the values indexed by the running variable, i = 1,2,…,n.

ri =the SONIA value corresponding to UK banking day i, expressed as an interest rate
annum.
Example: If SONIA for UK banking day i is two and one quarter percent per annum,
then ri = 2.25.

di =the number of calendar days to which ri applies. For any calendar day that is not aUK banking day (eg, weekend days, UK bank holidays), the applicable value shall be
SONIA for the first preceding UK banking day.
Examples: If the ith day is a Monday, a Tuesday, a Wednesday, or a Thursday, and if
the next following calendar day is a UK banking day, then di = 1. If the ith day is aFriday, and if the next following Monday is a UK banking day, then di = 3.

D=

the number of calendar days in the Reference Quarter: D = Σi=1…n di.

3. Computational ConventionsThe final settlement price for an expiring contract shall be calculated by the Exchange on the dayon which the BOE publishes the SONIA value for the last day of such contract’s Reference Quarter(Rule 47003.A.1.). Customarily, though not always, such publication will occur on the third
Wednesday of such contract’s delivery month.
The SONIA value for the last day of such expiring contract’s Reference Quarter shall be as firstpublished by the BOE.
The value of R determined pursuant to Rule 47003.A.2. shall be rounded to the nearest 1/10,000thof one percent per annum, ie, the nearest 1/100th of one interest rate basis point per annum, or0.0001 Index points. A tie value, ie, any such value ending in 0.00005, shall be rounded up.
Example: A value of 3.14155 percent per annum would be rounded up to 3.1416 percent perannum, and then subtracted from 100.000 to determine a contract final settlement price of96.8584 Index points.
47003.B. Final Settlement
Clearing members holding open positions in a contract at the time of termination of trading in suchcontract shall make payment to or receive payment from the Clearing House in accordance with© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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normal variation performance bond procedures based on a settlement price equal to the final
settlement price.
(End Chapter 470)

INTERPRETATIONS AND SPECIAL NOTICES RELATING TO CHAPTER 470
SONIA is copyright of the Bank of England. The trade marks "Bank of England" and "SONIA" areregistered trade marks of the Bank of England. All Rights Reserved. The SONIA benchmark
Includes the proprietary Information of the Bank of England, and the data comprising thebenchmark may not be copied or distributed except as specifically authorised. The SONIA
benchmark is not intended to be relied upon as authoritative or taken in substitution for the exerciseof judgement. The SONIA benchmark is not, and should not be construed as, an offer, bid orsolicitation in relation to any financial instrument. The Bank of England does not guarantee, andexpressly disclaims any liability for, and makes no representations or warranties, whether express
or implied, as to the currency, accuracy, timeliness, completeness or fitness for any particularpurpose of the SONIA benchmark. The Bank of England accepts no liability whatsoever for anyloss (including, but not limited to any direct, indirect or consequential loss, whether or not such loss
is foreseeable and whether or not the Bank of England has been apprised of the use to which theSONIA benchmark will be put) howsoever arising from the use, the timeliness of delivery or thefailure of delivery of the SONIA benchmark.

© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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