Description

Cash settled future based on EONIA (Euro Over Night Index Average) as calculated by the ECB

Market Specifications

Trading Screen Product Name

One Month Eonia

Trading Screen Hub Name

ICEU

Commodity Code

EON

Unit of Trading

€3,000,000

Delivery Date

One business days after the Last Trading Day

Delivery Months

A maximum of twelve consecutive delivery months will be available for trading

Quotation

100.00 minus rate of interest

Minimum Price Fluctuation

0.005 (€12.50)

The value of the minimum price movement stated above is based on a standardised half-basis point value so that, for hedging purposes a calculation will need to be made in relation to the hedge ratio to take into account any mismatch between the standardised half-basis point value and the actual half-basis point value of the position being hedged determined by the actual number of days in the accrual period.

Last Trading Day

The last business day of the calendar month.

Exchange Delivery Settlement Price

As soon as reasonably practicable after 18:30 on the Last Trading Day

Based on EONIA as calculated by the ECB in respect of each business day, the EDSP Rate represents the effective rate of interest achieved by reinvesting at EONIA for each day of the accrual period of the contract. The following formula shall be applied:

The complete EDSP Rate formula can be found here, in section PPPP.5.

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

The EDSP shall be determined as 100 minus the EDSP Rate, rounded as described above

Algorithm

Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm with a time-weighting of 3 and 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

First Accrual Date

The first calendar day of the Delivery Month

Last Accrual Date

The last calendar day of the Delivery Month

Contract Standard

Cash settlement based on the Exchange Delivery Settlement Price.

Other Information

The Exchange Delivery Settlement Price ("EDSP") of the One Month EONIA Indexed Contract is calculated on the basis of the Euro OverNight Index Average ("EONIA") rate as described in the Contract Specification. Potential users of the One Month EONIA Indexed Contract made available on ICE Futures Europe should familiarize themselves with the contract terms of the One Month EONIA Indexed Contract. Potential users should note that, whilst the EONIA rates are publicly available, the detailed calculation procedures in relation to those rates are not published. Potential users should be aware that EONIA rates to be used in the calculation of a final EDSP will be amended only where the European Central Bank ("ECB") indicates to the Exchange that there is an error in the EONIA rates before the Exchange publishes that final EDSP. In that event, and subject to the terms of the One Month EONIA Indexed Contract, the requisite corrections to all relevant EONIA rates will be made in order to calculate such final EDSP. The contract has a standardized basis point value so that, for hedging purposes, a calculation will need to be made in relation to the hedge ratio to take into account any mismatch between the standardized basis point value and the actual basis point value of that position being hedged determined by the actual number of days in the accrual period.

NOTE: All times are London, unless otherwise stated

Disclaimer of Liability

EONIA-EMMI makes no warranty, express or implied, either as to the results to be obtained from the use of EONIA and / or the figure at which EONIA stands at any particular time on any particular day or otherwise. EONIA - EMMI makes no express or implied warranties of merchantability or fitness for a particular purpose for use with respect to the product and excludes all liability for any loss of business or profits or for any direct, indirect or consequential loss or damage arising from use of EONIA.

MIC Code

IFLL

Clearing Venues

ICEU