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:
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).
- 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
Related Products
Trading Hours
| City | Trading | Pre-Open |
|---|---|---|
| NEW YORK | 2:30 AM - 1:00 PM 02:30 - 13:00 | 1:03 AM 01:03 |
| LONDON | 7:30 AM - 6:00 PM 07:30 - 18:00 | 6:03 AM 06:03 |
| SINGAPORE | 3:30 PM - 2:00 AM* 15:30 - 02:00 | 2:03 PM 14:03 |
Codes
- Clearing Admin Name
- SARON 3Month
- Physical
- SA3
- Logical
- SA3
- GMI (FC)
- ION A.C.N.
- Symbol Code
- SA3