Eris EURIBOR Interest Rate Future

Transcription

1 ICE Fuures Europe Jan 21, 2018 Eris EURIBOR Ineres Rae Fuure Conrac Specificaions Descripion 100,000 noional principal whose value is based upon he difference beween a sream of annual fixed ineres paymens and a sream of quarerly or semi-annual floaing ineres paymens based on 3 or 6 monh EURIBOR, over a erm o mauriy Underlying Tenor The duraion of ime from he Effecive Dae o he Mauriy Dae. Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 30 years Fixed Rae Pre-deermined rae se by ICE Fuures Europe ( IFEU ) which will remain saic hroughou he life of he Conrac. Fixed Rae will be se in 25 basis poin incremens beween -1.00% and 10.00% Commodiy Code Deermined by Fixed Rae Conrac Size 1 Conrac = 1 lo = 100,000 face value Trading Convenions Buy = Pay Fixed Sell = Receive Fixed ICE Help Desk: Alana , London + 44 (0) or ICEHelpdesk@heice.com 1

2 Conrac Specificaions Fuures Convenions FIXED LEG Rese Frequency: Annual Day Coun Convenion: 30/360 Currency: EUR Holiday Calendar: TARGET Roll Mehodology: Calendar or IMM Business Day Convenion: Modified Following wih adjusmens o Period End Daes FLOATING LEG Rese Frequency: Semi-Annual Day Coun Convenion: Acual/360 Currency: EUR Holiday Calendar: TARGET Roll Mehodology: Calendar or IMM Business Day Convenion: Modified Following wih adjusmens o Period End Daes Effecive Daes Quarerly IMM Daes (3rd Wednesday of each March, June, Sepember, December) (e.g. a 2YR Tenor may read Mar 18, 2015 or Mar 15 ) Up o 3 consecuive Effecive Daes radable a one ime Mauriy Dae The dae o which fixed and floaing amouns accrue. The las dae of he conrac. The Mauriy Dae is deermined by he anniversary of he Effecive Dae deermined by he Underlying Tenor, he Roll Mehod and he Modified Following Business Day Convenion. The Mauriy Dae may also be referred o as he Terminaion Dae Remaining Tenor The duraion of ime from oday o he Mauriy Dae. Rese Daes Daes uilised o deermine fixed and floaing amouns hroughou he life of he Conrac. Rese Daes define he beginning and end of fixed and floaing ineres accrual periods. Floaing Rae Rese Daes faciliae he deerminaion of he 6 monh EURIBOR Fixing Daes The Roll Mehodology will be used as he basis for deermining Rese Daes. Each Rese Dae is subjec o adjusmen based on he Modified Following convenion. Las Trading Day The las day on which he Conrac can be raded is he Holiday Calendar business day preceding he Mauriy Dae. On he Las Trading Day rading will cease a 9:00 PM London Time Fixing Daes 2 business days prior o he Effecive Dae and 2 business days prior o each Rese Dae ICE Help Desk: Alana , London + 44 (0) or ICEHelpdesk@heice.com 2

3 Conrac Specificaions Floaing Rae Index 3 or 6 monh EURIBOR adminisered by he European Money Markes Insiue (EMMI) ICE Fuures Europe Eris Sandard EUR Ineres Rae Fuures are priced on a basis of 100, similar o marke pracice for bonds and oher fuures conracs Daily Selemen Price Quoaion The Daily Selemen Price for each Conrac is defined as: S = A + B - C S = Selemen price a ime A = Ne Presen Value ( NPV ) of he fuure cash flows a ime, based on OIS discouning B = Value of hisorical fixed and floaing amouns from he firs rade dae C = Price Alignmen Ineres (PAI) IFEU calculaes Daily Selemen Price o 4 decimals of precision (e.g ) PAI is a cumulaive value calculaed daily by applying EONIA (Euro OverNigh Index Average) o he Conrac s NPV, using he day coun convenion specified above for he Floaing Price Leg. PAI will sar accruing on he firs rade dae Final Selemen S = B C S = Selemen price on he Mauriy Dae B = Hisorical fixed and floaing amouns saring from he firs rade dae hrough he Mauriy Dae C = PAI, on he Mauriy Dae IFEU calculaes Final Selemen Price o 4 decimals of precision (e.g ) ICE Help Desk: Alana , London + 44 (0) or ICEHelpdesk@heice.com 3

4 Conrac Specificaions Ne Presen Value ( NPV ) per Conrac will be used for rade execuion NPV is expressed in per conrac erms for he Buyer (Pay Fixed). Each Fuure negoiaed in NPV erms has an implici Fuures-Syle Price of: Trade Price = A +B C negoiaed Where A is he NPV per Conrac agreed upon beween he negoiaed counerparies (divided by 1,000 o normalise unis o 100 face amouns), B is he value of he hisorical fixed and floaing amouns, and C is he PAI a ime Quoaion The B and C componens are calculaed once daily and applied by IFEU, and are no subjec o negoiaion by he counerparies The NPV per Conrac can be negoiaed in he following incremens/ick sizes: 1 for Conracs where he lesser of Remaining Tenor/Underlying Tenor is less han 2 years 2 for Conracs where he lesser of Remaining Tenor/Underlying Tenor is greaer han or equal o 2 years and less han 4 years 5 for Conracs where he lesser of Remaining Tenor/Underlying Tenor is greaer han or equal o 4 years and less han 7 years 10 for Conracs where he lesser of Remaining Tenor/Underlying Tenor is greaer han or equal o 7 years and less han 20 years 20 for Conracs where he lesser of Remaining Tenor/Underlying Tenor is greaer han or equal o 20 years Block Trade Minimum 250 los for Conracs wih Remaining Tenor up o and including 12 years, 50 los for Conracs wih Remaining Tenor greaer han 12 years Basis Trade Faciliy ICE Fuures Europe Eris Sandard EUR Ineres Rae Fuures are allowed o be raded as Basis Trades. Basis Trades mus be execued and repored pursuan o IFEU Rules under Secion F.5.C in he IFEU Rulebook and Trading Procedure 16A Conrac Fixed Rae & Symbol Lis by Tenor 6-monh, Calendar Rolls: RA - RJ (1 year - 10 year), RN (30 year) 6-monh, IMM Rolls: QA -QJ (1 year - 10 year) 3-monh, Calendar Rolls: RQ - RZ (1 year - 10 year) 3-monh, IMM Rolls: QP - QY (1 year - 10 year) For complee lis of Eris Ineres Rae Fuures Codes please click here. Oher Informaion As defined by ISDA. As calculaed using he Eris Fuures Exchange pricing mehodology, known as he Eris Mehodology ICE Help Desk: Alana , London + 44 (0) or ICEHelpdesk@heice.com 4

5 Conrac Specificaions Euribor and Eonia are regisered rademarks of European Money Markes Insiue (EMMI). Disclaimer of Liabiliy EURIBOR-EMMI makes no warrany, express or implied, eiher as o he resuls o be obained from he use of EURIBOR and / or he figure a which EURIBOR sands a any paricular ime on any paricular day or oherwise. EURIBOR - EMMI makes no express or implied warranies of merchanabiliy or finess for a paricular purpose for use wih respec o he produc and excludes all liabiliy for any loss of business or profis or for any direc, indirec or consequenial loss or damage arising from use of he EURIBOR. EONIA-EMMI makes no warrany, express or implied, eiher as o he resuls o be obained from he use of EONIA and / or he figure a which EONIA sands a any paricular ime on any paricular day or oherwise. EONIA - EMMI makes no express or implied warranies of merchanabiliy or finess for a paricular purpose for use wih respec o he produc and excludes all liabiliy for any loss of business or profis or for any direc, indirec or consequenial loss or damage arising from use of EONIA. ICE Help Desk: Alana , London + 44 (0) or ICEHelpdesk@heice.com 5