FMX offers trading in Three-Month SOFR Futures Contracts, featuring:
- SOFR Spreads, Butterflies, Packs, and Bundles
- ¼ bp tick size on first eight quarterly contracts
- Cash settled
CONTRACT SPECIFICATIONS FOR FMX THREE-MONTH SOFR FUTURES CONTRACTS
| Parameter | Description | ||||||
|---|---|---|---|---|---|---|---|
| Contract Underlying | 3-month SOFR (“Secured Overnight Financing Rate”) | ||||||
| Type of Contract | Cash settled with Daily Variation Margin Payment | ||||||
| Contract Unit | $2,500 x Contract Index | ||||||
| Central Counterparty | LCH | ||||||
| FMX Product Code | FS3 | ||||||
| Vendor Codes | Bloomberg: KFSA [Comdty] | ||||||
| Listed Contract | FMX currently lists the first 8 quarterly contracts and is certified to list up to the nearest 22 (i.e., 5 years + 2 quarters) quarterly months (March, June, September, December) | ||||||
| Trading Hours | Daily 9:00 PM – 5:00 PM (ET), Sunday to Friday | ||||||
| Quotation Display & Value | Contract Index = 100 – Business Day compounded SOFR during contract underlying period.
The underlying period is the interval from (and including) the third Wednesday of the third month preceding the contract settlement month, to (and not including) the third Wednesday of the contract settlement month. |
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| Minimum Tick Size |
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| Accountability Limits | 10,000 contracts | ||||||
| Daily Settlement Price (DSP) | The DSP will be calculated at 3:00 PM ET and disseminated shortly afterwards | ||||||
| Settlement Style | Financially settled | ||||||
| Last Trading Day | One business day prior to the third Wednesday of the contract settlement month. On the Last Trading Day, trading in the front month will cease at 5:00 PM ET | ||||||
| Final Settlement Price (FSP) | 100 minus compounded daily SOFR during the contract underlying period. The FSP will be available at 8:00 AM ET, or shortly thereafter, on the business day following Last Trading Day. |
For complete contract rules, please click here.