ICE Three Month NIBOR® Futures

ICE Futures Europe

ICE Three Month NIBOR® Index Futures is a cash settled future based on the 3 Month NIBOR.

Trading Screen Product Name: ICE Three Month NIBOR Futures
Trading Screen Hub Name: ICEU
Contract Symbol: NIB
Unit of Trading: NOK 25,000 * Rate Index
Minimum Price Fluctuation: All delivery months: 0.00200 (62.50)
Last Trading Day: 12:00pm (CET) - Two Business days prior to the third Wednesday of the delivery month.
Delivery Month: March, June, September, December such the 16 delivery months are available for trading.
Exchange Delivery Settlement Price: 100 - 3M NIBOR LTD
Quotation: 100.00 minus the numerical value of the rate of interest
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).
Underlying Index: THREE MONTH NIBOR®
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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