ICE Futures Europe Three Month SOFR Index

Cash settled future based on the compounded average of SOFR for the referenced quarter.
== Contract Specs ==
Futures Europe Three Month SOFR Index Future	Futures Europe Three Month SOFR Index Future 	Futures Europe Three Month SOFR Index Future 	Futures Europe Three Month SOFR Index Future
Trading Screen Product Name 	Three Month SOFR Future 	Three Month SOFR Future 	Three Month SOFR Future
Trading Screen Hub Name 	ICEU 	ICEU 	ICEU
Contract Symbol 	SF3 	SF3 	SF3
Unit of Trading 	$10,000 * Rate Index 	$10,000 * Rate Index 	$10,000 * Rate Index
Minimum Price Fluctuation 	0.0025 ($25.00) 	0.0025 ($25.00) 	0.0025 ($25.00)
Delivery Months 	March, June, September, December, such that 24 delivery months are available for trading. Contract Delivery Months are named by the start date of the accrual period. 	March, June, September, December, such that 24 delivery months are available for trading. Contract Delivery Months are named by the start date of the accrual period. 	March, June, September, December, such that 24 delivery months are available for trading. Contract Delivery Months are named by the start date of the accrual period.
Quotation 	100.00 minus the numerical value of the rate of interest 	100.00 minus the numerical value of the rate of interest 	100.00 minus the numerical value of the rate of interest
Last Trading Day 	One business day prior to the third Wednesday of the next quarterly Delivery Month trading will cease at 17:00 (New York Local Time) 	One business day prior to the third Wednesday of the next quarterly Delivery Month trading will cease at 17:00 (New York Local Time) 	One business day prior to the third Wednesday of the next quarterly Delivery Month trading will cease at 17:00 (New York Local Time)
Algorithm 	Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm with a time-weighting of 2 and with priority given to the first order at the best price subject to a minimum order size (collar) and limited to a maximum order size (cap). 	Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm with a time-weighting of 2 and with priority given to the first order at the best price subject to a minimum order size (collar) and limited to a maximum order size (cap). 	Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm with a time-weighting of 2 and with priority given to the first order at the best price subject to a minimum order size (collar) and limited to a maximum order size (cap).
Exchange Delivery Settlement Price 	EDSP publication is the next business day after the Last Trading Day
100 minus the EDSP Rate, determined as described below.
Based on SOFR (Secured Over Night Financing Rate) as calculated by the New York Federal Reserve Bank each business day, the EDSP Rate represents the effective rate of interest achieved by reinvesting at SOFR for each day of the accrual period of the contract. The following formula shall be applied:
Click here for formula
where:
S_i = SOFR rate on the i^th day of the accrual period
d_i = the number of days that the value S_i is applied
x = the number of SOFR fixings used in the accrual period
N = the total number of days for which the x fixings are applied, i.e. the number of calendar days in the accrual period
Where the EDSP Rate is not an exact multiple of 0.00001, it will be rounded to the nearest 0.00001 or, where the EDSP Rate is an exact uneven multiple of 0.000005, to the nearest lower 0.00001.0.0	EDSP publication is the next business day after the Last Trading Day
100 minus the EDSP Rate, determined as described below.
Based on SOFR (Secured Over Night Financing Rate) as calculated by the New York Federal Reserve Bank each business day, the EDSP Rate represents the effective rate of interest achieved by reinvesting at SOFR for each day of the accrual period of the contract. The following formula shall be applied:
Click here for formula
where:
S_i = SOFR rate on the i^th day of the accrual period
d_i = the number of days that the value S_i is applied
x = the number of SOFR fixings used in the accrual period
N = the total number of days for which the x fixings are applied, i.e. the number of calendar days in the accrual period
Where the EDSP Rate is not an exact multiple of 0.00001, it will be rounded to the nearest 0.00001 or, where the EDSP Rate is an exact uneven multiple of 0.000005, to the nearest lower 0.00001.0.0	EDSP publication is the next business day after the Last Trading Day
100 minus the EDSP Rate, determined as described below.
Based on SOFR (Secured Over Night Financing Rate) as calculated by the New York Federal Reserve Bank each business day, the EDSP Rate represents the effective rate of interest achieved by reinvesting at SOFR for each day of the accrual period of the contract. The following formula shall be applied:
Click here for formula
where:
S_i = SOFR rate on the i^th day of the accrual period
d_i = the number of days that the value S_i is applied
x = the number of SOFR fixings used in the accrual period
N = the total number of days for which the x fixings are applied, i.e. the number of calendar days in the accrual period
Where the EDSP Rate is not an exact multiple of 0.00001, it will be rounded to the nearest 0.00001 or, where the EDSP Rate is an exact uneven multiple of 0.000005, to the nearest lower 0.00001.0.0
Interest Rate Basis 	Act/360 Fixed 	Act/360 Fixed 	Act/360 Fixed
First Accrual Date 	Third Wednesday of the Delivery Month 	Third Wednesday of the Delivery Month 	Third Wednesday of the Delivery Month
Last Accrual Date 	Business day prior to the Third Wednesday of the next quarterly Delivery Month 	Business day prior to the Third Wednesday of the next quarterly Delivery Month 	Business day prior to the Third Wednesday of the next quarterly Delivery Month
Trading Hours 	07:45pm to 5:00pm (New York Local Time) 	07:45pm to 5:00pm (New York Local Time) 	07:45pm to 5:00pm (New York Local Time)
Wholesale Service 	Basis trading, Block Trading, Asset Allocation 	Basis trading, Block Trading, Asset Allocation 	Basis trading, Block Trading, Asset Allocation
Clearing 	ICE Clear Europe 	ICE Clear Europe 	ICE Clear Europe
Contract Standard 	Cash settlement based on the Exchange Delivery Settlement Price. 	Cash settlement based on the Exchange Delivery Settlement Price. 	Cash settlement based on the Exchange Delivery Settlement Price.
Statement Regarding EDSP 	The contracts have a standardized basis point value so that, for hedging purposes, a calculation will need to be made in relation to the hedge ratio to take into account any mismatch between the standardized basis point value and the actual basis point value of the position being hedged, determined by the actual number of days in the accrual period.	The contracts have a standardized basis point value so that, for hedging purposes, a calculation will need to be made in relation to the hedge ratio to take into account any mismatch between the standardized basis point value and the actual basis point value of the position being hedged, determined by the actual number of days in the accrual period.	The contracts have a standardized basis point value so that, for hedging purposes, a calculation will need to be made in relation to the hedge ratio to take into account any mismatch between the standardized basis point value and the actual basis point value of the position being hedged, determined by the actual number of days in the accrual period.
Disclaimer 	The use of SOFR does not imply or suggest any approval or endorsement by the benchmark provider of the product listed by ICE Futures Europe 	The use of SOFR does not imply or suggest any approval or endorsement by the benchmark provider of the product listed by ICE Futures Europe 	The use of SOFR does not imply or suggest any approval or endorsement by the benchmark provider of the product listed by ICE Futures Europe
MIC Code 	IFLL 	IFLL 	IFLL
Clearing Venues 	ICEU 	ICEU 	ICEU
Trading Hours 	CITY 	TRADING 	PRE-OPEN
Trading Hours 	NEW YORK 	7:45 PM - 5:00 PM
19:45 - 17:00 	7:30 PM
19:30
Trading Hours 	LONDON 	12:45 AM - 10:00 PM
00:45 - 22:00 	12:30 AM
00:30
Trading Hours 	SINGAPORE 	7:45 AM - 5:00 AM
07:45 - 05:00 	7:30 AM
07:30
Codes 	Clearing Admin Name 	SOFR 3Month 	SOFR 3Month
Codes 	Physical 	SF3 	SF3
Codes 	Logical 	SF3 	SF3
Codes 	GMI (FC) 	None 	None
Codes 	ION A.C.N. 	None 	None
== Notes ==
== References ==
== Resources ==
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Category:Futures Contracts Traded on ICE
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Category:Interest Rates