CME: MPC MPC SONIA Futures prices chart

Vendor Codes: CME Globex : MPC, Bloomberg: MPC

Contract Unit: Compounded daily SONIA interest during Contract Reference Interval, such that each basis point per annum of interest = £25 per Contract. Reference Interval: For a given contract, interval from (and including) the scheduled Bank of England Monetary Policy Committee (“MPC”) announcement date preceding the Delivery Month, to (and not including) the scheduled MPC announcement date in the Delivery Month.

Price Basis: Contract-grade IMM Index: 100 minus R

Contract Size: £2,500 x Contract-grade IMM Index

Minimum Price Fluctuation : Nearby Contract: 0.0025 IMM Index points (¼ basis point per annum) equal to £6.25 per Contract. All Other Contracts: 0.005 IMM Index points (½ basis point per annum) equal to £12.50 per Contract.

Delivery Months: Nearest Reference Intervals for which Bank of England has published MPC announcement dates. First nearby listed contract: Contract Month = Oct 2018 (i.e., Delivery Month = Nov 2018).

International Monetary Market (IMM) Date means the third Wednesday of March, June, September and December, a traditional settlement date in the International Money Market. The CME-traded futures contract of each applicable Index Currency that is closest to expiration is used in the Index calculation.

Sterling Overnight Index Average (SONIA) is a transaction-based index administered by the Bank of England and endorsed by the Sterling Risk-Free Reference Rate Working Group as the preferred risk-free reference rate for sterling Overnight Indexed Swaps (OIS).