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ICE Futures Europe

Eris GBP 3YR Interest Rate Future

Description

£100,000 notional principal whose value is based upon the difference between a stream of annual fixed interest payments and a stream of annual floating interest payments based on GBP SONIA, over a term to maturity

Market Specifications

Trading Screen Product Name
Eris GBP 3YR Interest Rate Future (0.00%)
Trading Screen Hub Name
ICEU
Trading Hours
7:30 AM to 6:00 PM London Time
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

Effective Dates: Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16, 2022” or “Mar 22”)
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 Size
1 Contract = 1 lot = £100,000 face value

£100,000 notional principal whose value is based upon the difference between a stream of annual fixed interest payments and a stream of annual floating interest payments based on compounded SONIA, over a term to maturity
Trading Conventions
Buy = Receive Fixed
Sell = Pay Fixed
Futures Conventions
Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month

Floating Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
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†
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
IMM dates annually after the effective date
Floating Rate Index
SONIA administered by The Bank of England
Floating Rate Payment
The effective SONIA floating rate is equal to :

Si = SONIA rate on the ith day of the accrual period
di = the number of days that the value Siapplied
x = the number of SONIA fixings used in the accrual period
N = the total number of days for which the x fixings applied, i.e. the number of calendar days in the accrual period

The payment is equal to the notional * Rate / 100 * ACT / 365
Daily Settlement Price Quotation
ICE Futures Europe Eris Standard GBP 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††)

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

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

PAI†† is a cumulative value calculated daily by applying the Sterling OverNight Index Average (SONIA) 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
The Futures Price can be negotiated in the following increments/tick sizes:
• 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
Trading Methods
ICE Futures Europe Eris Standard GBP 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
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
IR Future GBP
Physical
6H
Logical
6H
GMI (FC)
ION A.C.N.
Symbol Code
6HE