- 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 :

S
i = SONIA rate on the i
th day of the accrual period
d
i = the number of days that the value S
iapplied
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