Chapter 460
Three-Month SOFR Futures
46000.

SCOPE OF CHAPTER
This chapter is limited in application to Three-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.

46001.

CONTRACT SPECIFICATIONSEach contract is valued at $2,500 times the contract-grade IMM Index (Rule 46002.C.).

46002.

TRADING SPECIFICATIONS
46002.A. Trading ScheduleContracts shall be scheduled for trading during such hours and for delivery in such months as may bedetermined by the Exchange.
46002.B. Trading Unit
For a contract for a given delivery month, the unit of trading shall be compounded daily Secured Overnight
Financing Rate (“SOFR”) interest during the contract Reference Quarter (Rule 46003.A.1.), expressed as
an interest rate per annum for which (i) such interest rate shall accrue on the basis of the actual numberof days spanned by such contract Reference Quarter, divided by a 360-day year, and (ii) each basis pointper annum of such interest rate shall be worth $25 per futures contract. The SOFR shall be as publishedby the Federal Reserve Bank of New York (“FRBNY”).
46002.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 SOFR interest during the contract Reference Quarter,as specified in Rule 46002.B.
Example: Where the value of such compounded daily SOFR is 2.055 percent per annum, it shallbe quoted as an Index value of 97.9450.
The minimum price fluctuation shall be 0.005 Index points, equal to $12.50 per contract, provided that theminimum price fluctuation shall be 0.0025 Index points, equal to $6.25 per contract, for any contract withfour months or less until its termination of trading (Rule 46002.G.), where the applicable four-monthinterval shall be defined so as to begin on the Business Day following the Friday prior to the third
Wednesday of the fourth month preceding the month in which trading in such contract terminates.
46002.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.
46002.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.
46002.F. [Reserved]
46002.G. Termination of Trading
Trading in an expiring contract shall terminate at the close of trading on the Business Day immediately
preceding the third Wednesday of the contract delivery month.
46002.H. [Reserved]

46003.

SETTLEMENT PROCEDURES
Delivery shall be by cash settlement.

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46003.A. Final Settlement Price
1. Definition of Reference Quarter
For a contract for a given delivery month, the Reference Quarter shall be the interval that ends on (anddoes not include) the third Wednesday of the contract delivery month, and that begins on (and includes)
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 compoundeddaily SOFR during the contract Reference Quarter (“R”), as follows:
Final Settlement Price = 100 minus R
whereR =[ Πi=1…n {1+(di /360)*(ri /100)} – 1 ] x (360/D) x 100n =the number of US government securities market business days (“cash business days”)
during such Reference Quarter.
iis the running variable that indexes each cash business 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 SOFR value corresponding to cash business day i, expressed as an interest rate perannum.
Example: If SOFR for cash business day i is two and one quarter percent, then ri = 2.25.
di =the number of calendar days to which ri applies. For any calendar day that is not a cash
business day (eg, weekend days, US government securities market holidays), theapplicable value shall be SOFR for the immediately preceding cash business day.
Examples: If the ith day is a Monday, a Tuesday, a Wednesday, or a Thursday, and if thenext following calendar day is a cash business day, then di = 1. If the ith day is a Friday,
and if the next following Monday is a cash business day, then di = 3.
D=
the number of calendar days in the Reference Quarter: D = Σi=1…n di.
For the purposes of this Rule, “US government securities market business days” shall mean all weekdays
excluding any dates identified by the Securities Industry and Financial Markets Association in its U.S.
Holiday Recommendations.
3. Computational Conventions
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 Reference Quarter (Rule46003.A.1.). Customarily, though not always, such publication will occur on the third Wednesday of suchcontract’s delivery month.
The SOFR value for the last day of such expiring contract’s Reference Quarter shall be as first publishedby the FRBNY.
The value of R determined pursuant to Rule 46003.A.2. shall be rounded to the nearest 1/10,000 th of one
percent per annum, ie, the nearest 1/100th of one interest rate basis point per annum, or 0.0001 Index
points. A tie value, ie, any such value ending in 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 of 96.8584
Index points.
46003.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.

46004.-35. [RESERVED]

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(End Chapter 460)

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