One Month Euro Overnight Rate Index Future

One Month Euro Overnight Rate Index Future37650328

Description

Cash settled future based on a Euro Overnight Rate as calculated by the ECB.

Market Specifications

Trading Screen Product Name
One Month Euro Overnight Rate
Trading Screen Hub Name
ICEU
Overnight Rate
Pre-October 2019 delivery months: EONIA
October 2019 onwards delivery months: €STR
Commodity Code
EON
Unit of Trading
€2,500 * Rate Index
Delivery Date
Two business days after the Last Trading Day
Delivery Months
A maximum of twenty four consecutive delivery months will be available for trading
Quotation
100.00 minus the numerical value of the rate of interest
Minimum Price Fluctuation
Front delivery month: 0.0025 (€6.25)
All other delivery months: 0.005 (€12.50)
Last Trading Day
The last business day of the calendar month.
Exchange Delivery Settlement Price
Will be published as soon as reasonably practical after 08:00 hours (London time) on the next business day after the Last Trading Day.
EDSP Rate shall be the arithmetic average of the daily Euro Overnight Rate for the delivery month:

Click here for formula

where:

Ei = the ith Euro Overnight Rate of the Accrual Period, expressed in such a way that for a rate of 1% per annum, Ei=0.01.
N = the total number of calendar days in the Accrual Period; and
for calendar days on which the Euro Overnight Rate is not computed (e.g., Saturdays, Sundays and bank holidays) the rate shall be the rate determined on the most recent business day for which a rate was determined.

Where the EDSP Rate is not an exact multiple of 0.0001, it will be rounded to the nearest 0.0001, or where the EDSP Rate is an exact uneven multiple of 0.00005, to the nearest lower 0.0001

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).
Wholesale Trade Types
Block Trading, Basis Trading, Asset Allocation
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 Euro Overnight Rate Index Futures Contract is calculated on the basis of the relevant Euro Overnight rates as described in the relevant Contract Rule. Potential users of the One Month Euro Overnight Rate Index Futures Contract made available on ICE Futures Europe should familiarise themselves with the relevant Contract Rules of the One Month Euro Overnight Rate Index Futures Contract. Potential users should note that, whilst the relevant Euro Overnight rates are publicly available, the detailed calculation procedures in relation to those rates are not published.

Potential users should be aware that Euro Overnight Rates to be used in the calculation of a final EDSP will be amended only where the Benchmark Administrator indicates to the Exchange that there is an error before the Exchange publishes that final EDSP. In that event, and subject to the relevant Contract Rules of the One Month Euro Overnight Rate Index Futures Contract, the requisite corrections to all relevant Euro Overnight Rates will be made in order to calculate such final EDSP.

The contracts have a standardised Rate Index 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 Rate Index exposure and the actual basis point value of the 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

Trading Hours

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

Codes

Clearing Admin Name
STIR ESTR
Physical
EON
Logical
EON
GMI(FC)
R&N A.C.N.