ICE Futures Europe
Cash settled future based on the average Swiss Average Rate Overnight (SARON®) rate (published at COB, after 18:00 Zurich time) on a three month Swiss Franc deposit.
100 minus the numerical value of EDSP Rate, determined as described below.
Based on SARON (Swiss Average Rate Overnight) as calculated by the Benchmark Administrator each business day, the EDSP Rate represents the effective rate of interest achieved by reinvesting at SARON for each day of the accrual period of the contract. The following formula shall be applied:
S_i = SARON rate on the i^th fixing day of the accrual period
d_i= the number of days that the value S_i is applied
x = the number of SARON fixings used in the accrual period
N = the total number of days for which the x fixings are applied, i.e. the number of calendar days in the accrual period
Where the EDSP Rate is not an exact multiple of 0.00001, it will be rounded to the nearest 0.00001 or, where the EDSP Rate is an exact uneven multiple of 0.000005, to the nearest lower 0.00001.
|New York||2:30 AM - 1:00 PM|
02:30 - 13:00
|London||7:30 AM - 6:00 PM|
07:30 - 18:00
|Singapore||3:30 PM - 2:00 AM|
15:30 - 02:00