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Three Month Saron® Index Futures Contract72270612

ICE Futures Europe

Three Month Saron® Index Futures Contract

Description

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.

Market Specifications

Trading Screen Product Name
Three Month SARON
Trading Screen Hub Name
ICEU
Contract Symbol
SA3
Unit of Trading
CHF 2,500 * Rate Index
Minimum Price Fluctuation
Front delivery month: 0.0025 (CHF 6.25)
All other delivery months: 0.0050 (CHF 12.50)
Delivery Month
March, June, September, December, such that 16 delivery months are available for trading.
Contract Delivery Months are named by the start date of the accrual period.
Rate Index
100.00 minus the numerical value of the rate of interest
Last Trading Day
One business day prior to the third Wednesday of the next quarterly Delivery Month. On the Last Trading Day, trading will cease at 17:00 (London Time)
Exchange Delivery Settlement Price
EDSP publication is as soon as reasonably practicable after 17:00 (London time) after the SARON publication on the Last Trading Day

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:

Click here for formula

where:

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.

First Accrual Date
Third Wednesday of the Delivery Month
Last Accrual Date
Business day prior to the Third Wednesday of the next quarterly Delivery Month
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).
NCR, RL and IPL Levels
NCR: 0.10;
RL: 0.10;
IPL: 0.10, 1 second recalculation and 3 second hold periods.

To access NCR documentation click here.
Trading Hours
07:30 to 18:00 (London Time)
Wholesale Trade Types
Block Trading, Basis Trading, Asset Allocation
Minimum Volume Thresholds can be found here
Clearing
ICE Clear Europe
Contract Standard
Cash settlement based on the Exchange Delivery Settlement Price.
Statement in relation to EDSP Formation
The contracts have a standardised 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 the position being hedged, determined by the actual number of days in the accrual period.
About SARON®
SARON® is a registered trade mark of the SIX Swiss Exchange, Zurich.
MIC Code
IFLL
Clearing Venues
ICEU

Trading Hours

CityTradingPre-Open
New York2:30 AM - 1:00 PM
02:30 - 13:00
1:03 AM
01:03
London7:30 AM - 6:00 PM
07:30 - 18:00
6:03 AM
06:03
Singapore3:30 PM - 2:00 AM
15:30 - 02:00
2:03 PM
14:03

Codes

Clearing Admin Name
SARON 3Month
Physical
SA3
Logical
SA3
Symbol Code
SA3