Eris EURIBOR® Interest Rate Future

Eris EURIBOR® Interest Rate Future52026298

Description

€100,000 notional principal whose value is based upon the difference between a stream of annual fixed interest payments and a stream of quarterly or semi-annual floating interest payments based on 3 or 6 month EURIBOR®, over a term to maturity

Market Specifications

Trading Screen Product Name
EUR STND Master
Trading Screen Hub Name
ICEU
Underlying Tenor
The duration of time from the Effective Date to the Maturity Date.

Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 30 years
Fixed Rate
Pre-determined rate set by ICE Futures Europe (“IFEU”) which will remain static throughout the life of the Contract. Fixed Rate will be set in 25 basis point increments between -1.00% and 10.00%
Commodity Code
Determined by Fixed Rate
Contract Size
1 Contract = 1 lot = €100,000 face value
Trading Conventions
Buy = Pay Fixed
Sell = Receive Fixed
Futures Conventions
FIXED LEG
Reset Frequency: Annual
Day Count Convention: 30/360
Currency: EUR
Holiday Calendar: TARGET
Roll Methodology: Calendar or IMM
Business Day Convention: Modified Following with adjustments to Period End Dates

FLOATING LEG
Reset Frequency: Semi-Annual
Day Count Convention: Actual/360
Currency: EUR
Holiday Calendar: TARGET
Roll Methodology: Calendar or IMM
Business Day Convention: Modified Following with adjustments to Period End Dates
Effective Dates
Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 18, 2015” or “Mar 15”)

Up to 3 consecutive Effective Dates tradable at one time
Maturity Date
The final date to which fixed and floating amounts accrue. The last date of the contract. The Maturity Date is determined by the anniversary of the Effective Date determined by the Underlying Tenor, the Roll Method and the Modified Following Business Day Convention.

The Maturity Date may also be referred to as the Termination Date
Remaining Tenor
The duration of time from today to the Maturity Date.
Reset Dates
Dates utilised to determine fixed and floating amounts throughout the life of the Contract. Reset Dates define the beginning and end of fixed and floating interest accrual periods. Floating Rate Reset Dates facilitate the determination of the 6 month EURIBOR Fixing Dates

The Roll Methodology will be used as the basis for determining Reset Dates. Each Reset Date is subject to adjustment based on the Modified Following convention.
Last Trading Day
The last day on which the Contract can be traded is the Holiday Calendar business day preceding the Maturity Date. On the Last Trading Day trading will cease at 9:00 PM London Time
Fixing Dates
2 business days prior to the Effective Date and 2 business days prior to each Reset Date
Floating Rate Index
3 or 6 month EURIBOR administered by the European Money Markets Institute (EMMI)
Daily Settlement Price Quotation
ICE Futures Europe Eris Standard EUR Interest Rate Futures are priced on a basis of 100, similar to market practice for bonds and other futures contracts

The Daily Settlement Price for each Contract is defined as:
St = 100 + At + Bt - Ct
St = Settlement price at time t
At = Net Present Value (“NPV”) of the future cash flows at time t, based on OIS discounting
Bt = Value of historical fixed and floating amounts from the first trade date
Ct = Price Alignment Interest (PAI††)

IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)

PAI†† is a cumulative value calculated daily by applying EONIA® (Euro OverNight Index Average) to the Contract’s NPV, using the day count convention specified above for the Floating Price Leg. PAI†† will start accruing on the first trade date
Final Settlement
Sfinal = 100 + Bfinal – Cfinal
Sfinal = Settlement price on the Maturity Date
Bfinal = Historical fixed and floating amounts starting from the first trade date through the Maturity Date
Cfinal = PAI††, on the Maturity Date

IFEU calculates Final Settlement Price to 4 decimals of precision (e.g. 100.1234)
Quotation
Net Present Value (“NPV”) per Contract will be used for trade execution

NPV is expressed in per contract terms for the Buyer (Pay Fixed). Each Future negotiated in NPV terms has an implicit Futures-Style Price of:

Trade Price = 100 + Anegotiated +Bt – Ct

Where Anegotiated is the NPV per Contract agreed upon between the counterparties (divided by 1,000 to normalise units to 100 face amounts), Bt is the value of the historical fixed and floating amounts, and Ct is the PAI†† at time t

The B and C components are calculated once daily and applied by IFEU, and are not subject to negotiation by the counterparties

The NPV per Contract can be negotiated in the following increments/tick sizes:
€1 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is less than 2 years
€2 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 2 years and less than 4 years
€5 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 4 years and less than 7 years
€10 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 7 years and less than 20 years
€20 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 20 years
Block Trade Minimum
250 lots for Contracts with Remaining Tenor up to and including 12 years, 50 lots for Contracts with Remaining Tenor greater than 12 years
Basis Trade Facility
ICE Futures Europe Eris Standard EUR Interest Rate Futures are allowed to be traded as Basis Trades. Basis Trades must be executed and reported pursuant to IFEU Rules under Section F.5.C in the IFEU Rulebook and Trading Procedure 16A
Contract Fixed Rate & Symbol List by Tenor
6-month, Calendar Rolls: RA - RJ (1 year - 10 year), RN (30 year)
6-month, IMM Rolls: QA -QJ (1 year - 10 year)
3-month, Calendar Rolls: RQ - RZ (1 year - 10 year)
3-month, IMM Rolls: QP - QY (1 year - 10 year)

For complete list of Eris Interest Rate Futures Codes please click here.
Other Information
As defined by ISDA.
†† As calculated using the Eris Futures Exchange pricing methodology, known as the Eris Methodology™
Disclaimer of Liability
Euribor® and Eonia® are registered trademarks of European Money Markets Institute (EMMI).

EURIBOR-EMMI makes no warranty, express or implied, either as to the results to be obtained from the use of EURIBOR and / or the figure at which EURIBOR stands at any particular time on any particular day or otherwise. EURIBOR - 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 the EURIBOR.

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
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Trading Hours

CityTradingPre-Open
New York8:00 PM - 4:00 PM
20:00 - 16:00
7:45 PM
19:45
London1:00 AM - 9:00 PM
01:00 - 21:00
12:45 AM
00:45
Singapore9:00 AM - 5:00 AM
09:00 - 05:00
8:45 AM
08:45
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Codes

Clearing Admin Name
IR Future EUR
Physical
RB, RC, RE, RJ
Logical
RB, RC, RE, RJ
GMI(FC)
R&N A.C.N.