FMX offers trading in Three-Month SOFR Futures Contracts, featuring:
- SOFR Spreads, Butterflies, Packs, and Bundles
- 1/8 bp tick size for contracts with less than four months to the last trading date. ¼ for all other listed contracts
- Cash settled
CONTRACT SPECIFICATIONS FOR FMX THREE-MONTH SOFR FUTURES CONTRACTS
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Parameter |
Description |
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Contract Underlying |
3-month SOFR (Secured Overnight Financing Rate) |
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Type of Contract |
Cash settled with Daily Variation Margin Payment |
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Contract Unit |
$2,500 x Contract Index |
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Central Counterparty |
LCH |
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Product Code |
FS3 |
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Vendor Codes |
Bloomberg: KFSA [Comdty] LSEG D&A RIC: 0#F3R |
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Listed Contracts |
First 9 quarterly contracts currently listed, certified to list up to the nearest 22 (i.e., 5 years + 2 quarters) quarterly months (March, June, September, December) |
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Trading Hours |
Daily 9:00 PM – 5:00 PM (ET), Sunday to Friday |
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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 |
Contracts |
Minimum Tick Size |
Minimum Tick Value |
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All contracts with four months or less until last day of trading (1) |
1/8 of one index point = 0.00125 |
$3.125 per contract |
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All other contracts |
1/4 of one index point = 0.00250 |
$6.25 per contract |
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Spreads including all contracts with four months or less until last day of trading (1) |
1/8 of one index point = 0.00125 |
$3.125 per contract |
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All other Spreads |
1/4 of one index point = 0.00250 |
$6.25 per contract |
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Accountability Limits |
10,000 contracts |
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Minimum Block Size |
Reserved |
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Daily Settlement Price (DSP) |
The DSP will be calculated at 3:00 PM ET and disseminated shortly afterwards. |
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Settlement Style |
Financially settled |
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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. |
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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. |
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Note 1 |
The quarterly move to the lower price tick will occur on the Monday before the third Wednesday of the month that is four months prior to the contract expiry month. If the Monday is a holiday, then it will be on the next business day. |
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Schedule |
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Addition of 9th Contract and Tick Size Change |
March 9, 2025 |
Trade Date March 17, 2025 |
Trade Date March 19, 2025 |
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December 2026 and March 2027 added to instrument file with first trade date March 17, 2025. |
Upon market open Sun Mar 16th at 9:00pm ET: * December 2026 and March 2027 begin trading. |
Upon market open Tues Mar 18th at 9:00pm ET: * December 2024 stops trading. * March 2025 becomes front contract and begins trading in lower tick size (.00125). * March 2027 becomes the 9th and last contract among outrights. |
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For complete contract rules, please click here.