- Trading Screen Product Name
- Eris EURIBOR 10YR IMM 6M Interest Rate Future (-0.25%)
- Trading Screen Hub Name
- ICEU
- Underlying Tenor
The duration of time from the Effective Date to the Cash Flow
Alignment Date (CFAD).
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 years vs 3-month or
6-month EURIBOR®, and 30 years vs 6-month EURIBOR®.
- Fixed Rate
Fixed Rate will be set in 25 basis point increments and determined
prior to Contract listing
- Contract Symbol
Determined by Exchange Logical Code and Fixed Rate
Contract Logical Code list by Tenor
6-month, IMM: 2F - 2O (1 year - 10 year)
6-month, IMM: 2S (30 year)
3-month, IMM: 3F - 3O (1 year - 10 year)
- Contract Size
1 Contract = 1 lot = €100,000 face value
- Trading Conventions
Buy = Receive Fixed
Sell = Pay Fixed
- Futures Conventions
Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: 30/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified
Following† with adjustments to Period End
Dates†
Floating Leg
• Reset Frequency: Semi-Annual or Quarterly
• Day Count Convention: Actual/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified
Following† with adjustments to Period End
Dates†
- Effective Date
Quarterly IMM Dates (3rd Wednesday of each March, June, September,
December) (e.g. a 2YR Tenor may read “Mar 16 2022” or
“Mar 22”)
- Maturity Date
Cash Flow Alignment Date (“CFAD”) is The Maturity
Date
The final date to which fixed and floating amounts accrue. The last
date of the contract. The Maturity Date is determined by applying
the Underlying Tenor to the Effective Date and selecting the
nearest Modified Following† 3rd Wednesday of the
month.
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
The Effective Date and each Notional Floating Payment Date other
than the Maturity Date
- 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 6:00 PM London Time
- Fixing Dates
Two business days prior to the IMM Date, quarterly or semiannually,
after the effective date.
- Floating Rate Index
3 month or 6-month EURIBOR administered by the European Money
Markets Institute (EMMI)
- Daily Settlement Price Quotation
ICE Futures Europe Eris 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 the Euro Short Term Rate (€STR) rate 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 Price Quotation
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
• 0.001 for Contracts where the lesser of Remaining
Tenor/Underlying Tenor is less than 2 years
• 0.002 for Contracts where the lesser of Remaining
Tenor/Underlying Tenor is greater than or equal to 2 years and less
than 4 years
• 0.005 for Contracts where the lesser of Remaining
Tenor/Underlying Tenor is greater than or equal to 4 years and less
than 7 years
• 0.010 for Contracts where the lesser of Remaining
Tenor/Underlying Tenor is greater than or equal to 7 years and less
than 20 years
• 0.020 for Contracts where the lesser of Remaining
Tenor/Underlying Tenor is greater than or equal to 20 years
- Block Trade Minimum
550 lots for Contracts with Remaining Tenor up to and including 4
years,
350 lots for Contracts with Remaining Tenor greater than 4 years
and up to and including 9 years
250 lots for Contracts with Remaining Tenor greater than 9 years
and up to and including 12 years
50 lots for Contracts with Remaining Tenor greater than 12 years
- Trading Methods
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
- Other Information
†As defined by ISDA
††As calculated using the Eris Futures
Exchange pricing methodology, known as the Eris Methodology™
- MIC Code
- IFLL
- Clearing Venues
- ICEU