3-Month Euribor Futures

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3-Month Euribor futures
Exchange NYSE Liffe US
Settlement Cash settled
Contract Size €1,000,000
Pricing Unit Need pricing unit!
Tick Value 0.005 (€12.50)
Contract Months March, June, September, December, and four serial months, such that 28 delivery months are available for trading, with the nearest six delivery months being consecutive calendar months.
Last Trading Day 10:00 - Two business days prior to the third Wednesday of the delivery month
Note: This contract is electronic ONLY -- no open outcry
  No Open Outcry Electronic
Trading Hours N/A 01:00 - 06:00, 07:00 - 21:00 Monday - Friday, London Time
Ticker Symbol N/A N/A
Price Limits N/A N/A
 
3-Month Euribor options
Trade Unit One futures contract
Point Value Need point value!
Tick Value 0.005 (€12.50)
Option Months March, June, September, December, and four serial months, such that twelve expiry months are available for trading, with the nearest six expiry months being consecutive calendar months
Strike Prices Need strike price description!
Exercise Style American
  No Open Outcry Electronic
Trading Hours N/A 07:02 - 18:00 Monday - Friday, London Time
Ticker Symbol N/A N/A
Price Limits N/A N/A

Notes

Futures Information:

Trading Platform:

  • LIFFE CONNECT® Trading Host for Futures and Options
  • Algorithm: Central order book applies a time pro-rata trade matching algorithm, but with priority given to the first order at the best price subject to a minimum order volume and limited to a maximum volume cap.
  • Wholesale Services: Asset Allocation, Block Trading, Basis Trading

Exchange Delivery Settlement Price (EDSP):

  • Based on the European Bankers Federations’ Euribor Offered Rate (EBF Euribor) for three month Euro deposits at 11.00 Brussels time (10:00 London time) on the Last Trading Day. The settlement price will be 100.00 minus the EBF Euribor Offered Rate rounded to three decimal places. Where the EDSP Rate is not an exact multiple of 0.001, it will be rounded to the nearest 0.001 or, where the EDSP Rate is an exact uneven multiple of 0.0005, to the nearest lower 0.001 (e.g. a EBF Euribor Offered Rate of 4.5225 becomes 4.522).

Options Information:

Trading Platform:

  • LIFFE CONNECT® Trading Host for Futures and Options
  • Algorithm: Central order book applies pro-rata algorithm, but with priority given to the first order at the best price subject to a minimum order volume and limited to a maximum volume cap.
  • Wholesale Services: Block Trading, Basis Trading

Contract Standard:

  • Assignment of one Three Month Euribor futures contract for the delivery month at the exercise price. The futures delivery month associated with each option expiry month shall be:
  • March in respect of January, February and March expiry months;
  • June in respect of April, May and June expiry months;
  • September in respect of July, August and September expiry months;
  • December in respect of October, November and December expiry months.

Exercise Price Intervals:

  • 0.25, (i.e. 0.25%) e.g. 94.00, 94.25, 94.50 etc.
  • 0.125, (i.e. 0.125%) e.g. 94.00, 94.125, 94.25 etc for the first four quarterly and all serial delivery months.

Introduction of new exercise prices:

  • Nine exercise prices will be listed for each new series. For expiry months with 0.25 exercise price intervals, additional exercise prices will be listed when the Three Month Euribor futures contract settlement price is within 0.12 of the fourth highest or lowest existing exercise price, or as deemed necessary by the Exchange. For expiry months with 0.125 exercise price intervals, additional exercise prices will be listed when the futures contract settlement price is within 0.06 of the eighth highest or lowest existing exercise price, or as deemed necessary by the Exchange.

Option Premium:

  • The contract price is not paid at the time of purchase. Option positions, as with futures positions, are marked-to-market daily giving rise to positive or negative variation margin flows. If an option is exercised by the Buyer, the Buyer is required to pay the original contract price to the Clearing House and the Clearing House will pay the original option price to the Seller on the following business day. Such payments will be netted against the variation margin balances of Buyer and Seller by the Clearing House.

Statement in relation to Options on Short Term Interest Rate Contracts:

  • Potential users of the Options on Short Term Interest Rate Contracts made available on the London International Financial Futures and Options Exchange should familiarize themselves with the terms of these contracts and with the terms of the Underlying Futures Contract.

Clearing:

  • NYSE Liffe Clearing.

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