Three Month Euro Swiss Franc (Euroswiss) Futures

Three Month Euro Swiss Franc (Euroswiss) Futures37650324

Description

Cash settled future based on the Swiss Franc LIBOR rate for three month deposits

Market Specifications

Trading Screen Product Name
Three Month Euroswiss Future
Trading Screen Hub Name
ICEU
Symbol
S
Unit of Trading
SFr 1,000,000
Delivery Date
First business day after the Last Trading Day
Delivery Months
March, June, September, December such that 16 delivery months are available for trading
Quotation
100.00 minus rate of interest
Minimum Price Movement
0.01 (SFr25)
Last Trading Day
11:00 - Two business days prior to the third Wednesday of the delivery month
Exchange Delivery Settlement Price
Based on the ICE Benchmark Administration Limited LIBOR Rate (ICE LIBOR) for three month Swiss Franc deposits at 11:00 on the Last Trading Day. The settlement price will be 100.00 minus the Swiss Franc ICE LIBOR rounded to three decimal places. Where the EDSP Rate is not an exact multiple of 0.001, it will be rounded to the nearest 0.001 or, where the EDSP Rate is an exact uneven multiple of 0.0005, to the nearest lower 0.001 (e.g. a ICE LIBOR of 1.43750 becomes 1.437)
Algorithm
Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm 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).
Block Trades
Block Trading, Basis Trading
Contract Standard
Cash settlement based on the Exchange Delivery Settlement Price.
Other Information
NOTE: All times are London, unless otherwise stated
MIC Code
IFLL
Clearing Venues
ICEU
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Trading Hours

CityTradingPre-Open
New York2:30 AM - 1:00 PM
02:30 - 13:00
1:03 AM
01:03
London7:30 AM - 6:00 PM
07:30 - 18:00
6:03 AM
06:03
Singapore3:30 PM - 2:00 AM
15:30 - 02:00
2:03 PM
14:03
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Codes

Clearing Admin Name
STIREuroswiss
Physical
S
Logical
S
GMI(FC)
R&N A.C.N.