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