Description

Cash settled future based on EMMI EURIBOR rate for three month deposits

Market Specifications

Trading Screen Product Name

Three Month Euro (Euribor) Future

Trading Screen Hub Name

ICEU

Symbol

I

Unit of Trading

€1000000

Delivery Date

First business day after the Last Trading Day

Delivery 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

Quotation

100.00 minus rate of interest

Minimum Price Movement

0.005 (€12.50)

Last Trading Day

10.00 - Two business days prior to the third Wednesday of the delivery month

Exchange Delivery Settlement Price

Based on the European Money Markets Institute Euribor Rate (EMMI 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 EMMI Euribor 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 EMMI Euribor Rate of 4.5225 becomes 4.522).

Algorithm

Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm 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).

Block Trades

Block Trading, Basis Trading

Contract Standard

Cash settlement based on the Exchange Delivery Settlement Price.

Disclaimer of Liability

EURIBOR-EMMI makes no warranty, express or implied, either as to the results to be obtained from the use of EURIBOR and / or the figure at which EURIBOR stands at any particular time on any particular day or otherwise. EURIBOR - EMMI makes no express or implied warranties of merchantability or fitness for a particular purpose for use with respect to the product and excludes all liability for any loss of business or profits or for any direct, indirect or consequential loss or damage arising from use of the EURIBOR.

MIC Code

IFLL

Clearing Venues

ICEU