Effective with the start of trading for Monday, December 5, 2022, ICE Futures U.S. will begin trading two new futures contracts on SOFR Indexes:

• ICE One-Month SOFR Index Futures (contract symbol SR1)
• ICE Three-Month SOFR Index Future (contract symbol SR3).

Each of the new futures contracts will be cash settled at expiration using a final settlement price based on the New York Federal Reserve’s Secured Over Night Financing Rate (SOFR).

The One-Month SOFR Index Futures Contract is a monthly contract with a final settlement value based on the monthly average rate of SOFR during the contract month. The Three-Month SOFR Index Futures Contract is a quarterly contract with a final settlement value based on the quarterly average rate of SOFR during a quarterly accrual period that starts on the third Wednesday of the contract month and ends on the business day prior to the third Wednesday of the next quarterly contract month.

The Secured Overnight Financing Rate (SOFR) is a broad measure of the overnight cost of borrowing cash collateralized by Treasury securities. Both One Month and Three Month futures contracts trade at ICE Futures Europe and clear through ICE Clear Europe.

ICE SOFR follows the successful launch of ICE SONIA futures which have traded in excess of £1.4 trillion in notional volume.