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THREE MONTH EONIA SWAP INDEX FUTURES CONTRACT
 


Codes and classification
Mnemo EO3 Market NYSE Liffe London Vol. 78 19/11/09
    Currency € O.I. 6,338
 Three Month Eonia Swap Index Futures
Unit of trading €1,000,000
Delivery months March, June, September and December, and four serial months such that eight 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
(tick size and value)		 0.005 (€12.50)
Last trading day Two business days prior to the third Wednesday of the delivery month. On the Last Trading Day, trading in the front delivery month will cease at 10:00
Delivery day First business day after the Last Trading Day
Trading hours 07:00 - 18:00
Related documentation
Eonia Swap Index Contracts (No. 73)
Liffe Market:  London
Trading Platform:  LIFFE CONNECT®
Algorithm:  Central order book applies a time pro-rata trading 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 Trading Facilities:  Asset Allocation, Block Trading, Basis Trading
Exchange Delivery
Settlement Price (EDSP) 		 Based on the Three Month Eonia Swap Index, as sponsored by the European Banking Federation (EBF), at 11:00 hours Brussels time (10:00 London time) on the Last Trading Day. The settlement price will be 100.00 minus the Three Month Eonia Swap Index level 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. The EDSP shall be 100.00 minus the EDSP Rate.
Contract Standard:  Cash settlement based on the Exchange Delivery Settlement Price.
Clearing:  LCH.Clearnet Ltd.

Unless otherwise stated, all times are London times.