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Description

Three Month ESTR Indexed Futures Contract is a cash settled future based on the interest rate on a three-month Euro deposit.

Market Specifications

Trading Screen Product Name

Three Month ESTR Indexed Future

Trading Screen Hub Name

ICEU

Contract Symbol

ER3

Unit of Trading

€2,500 * Rate Index

Minimum Price Fluctuation

All delivery months: 0.00250(€6.25)

Delivery Month

25 Quarters (March, June, September, December) plus 6 serial months are available for trading.

Contract Delivery Months are named by the start date of the accrual period (with the front three delivery months in their EDSP accrual calculation period).

Quotation

100.00 minus the numerical value of the rate of interest

Last Trading Day

One business day prior to the third Wednesday of the third calendar month after the start of the accrual period trading will cease at 18:00 (Brussels Time)

Algorithm

Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm with a time-weighting of 2 and 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).

Exchange Delivery Settlement Price

Publication: Next business day after the Last Trading Day

100 minus the EDSP Rate, determined as described below. Based on ESTR (Euro short-term rate) as calculated by the Benchmark Administrator each business day, the EDSP Rate represents the effective rate of interest achieved by reinvesting at ESTR for each day of the accrual period of the contract. The following formula shall be applied:

Click here for EDSP Rate Formula

where:

x = the number of ESTR rates determined in the Accrual Period.
N = the total number of calendar days in the Accrual Period; and
Ai = the overnight return factor in respect of the ith ESTR rate of the Accrual Period, determined as

Click here for EDSP Ai Formula

where:

and rounded to eight decimal places, where:
Ei = the ith ESTR rate of the Accrual Period, expressed in such a way that for a rate of 1% per annum, Ei = 0.01000.
di = the number of days that Ei is applied, such that di represents the number of calendar days between the day in respect of which the rate Ei is determined and the next day on which a ESTR rate is published.

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.

For calendar days on which the ESTR rate is not computed (e.g., Saturdays, Sundays and bank holidays) the rate shall be the rate determined on the most recent business day for which a rate was determined.

Interest Rate Basis

Act/360 Fixed

First Accrual Date

Third Wednesday of the Delivery Month

Last Accrual Date

Business day prior to the Third Wednesday of the third calendar month after the start of the First Accrual Day

Wholesale Trade Types

Basis trading, Block Trading, Asset Allocation

Contract Standard

Cash settlement based on the Exchange Delivery Settlement Price.

Disclaimer

The contracts have a standardized 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.

MIC Code

IFLL

Clearing Venues

ICEU

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Trading Hours

Codes