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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 :

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

S_final = 100 + B_final – C_final
S_final = Settlement price on the Maturity Date
B_final = Historical fixed and floating amounts starting from the first trade date through the Maturity Date
C_final = 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

Related Products

• Eris EURIBOR 10YR IMM 6M Interest Rate Future
• Eris EURIBOR 2YR IMM 6M Interest Rate Future
• Eris EURIBOR 30YR IMM 6M Interest Rate Future
• Eris EURIBOR 3YR IMM 6M Interest Rate Future
• Eris EURIBOR 5YR IMM 6M Interest Rate Future

Trading Hours

Codes