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ONE MONTH EONIA INDEXED FUTURES CONTRACT
 


Codes and classification
Mnemo EON Market NYSE Liffe London Vol. 0 19/11/09
    Currency € O.I. 0
 One Month Eonia Indexed Future
Unit of trading €3,000,000
Delivery months Consecutive delivery months, each covering a European Central Bank (ECB) Reserve Maintenance Period. The number of available delivery months will be limited to the number of Reserve Maintenance Periods for which dates have been published by the ECB. A maximum of twelve and a minimum of three consecutive delivery months will be available for trading
Quotation 100.00 minus rate of interest
Minimum price movement
(tick size and value)		 0.005 (€12.50)1
Last trading day Last day of ECB Reserve Maintenance Period. On the Last Trading Day, trading in the front delivery month will cease at 18:00 (Brussels time)
First accrual day For Eonia® : First day of ECB Reserve Maintenance Period
Last accrual day For Eonia® : Last Trading Day
EDSP published As soon as resonably practicable after 09:00 on the business day following the Last Trading Day
Delivery day Two business days after the Last Trading Day
Trading hours 07:00 – 18:00
Related documentation
One Month EONIA Indexed Future (No. 59)
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 EONIA (Euro OverNight Index Average) as calculated by the ECB and published by Reuters in respect of each business day, the EDSP Rate represents the effective rate of interest achieved by reinvesting at Eonia® for each day of the accrual period of the contract. The following formula shall be applied:
EDSP Rate=  
where:
Ei  =  Eonia® fixing on the ith day of the accrual period (if the First or Last Eonia® Accrual Day is not a London business day, the previous available Eonia® fixing is used)
di  =  the number of days that the value Ei is applied (for the First or Last Eonia® Accrual day this is not necessarily the number of days for which the relevant Eonia® fixing was valid
x  =  the number of Eonia® fixings used in the accrual period, including the rate applied to the first calendar day of the accrual period where such calendar day is not a business day
N  =  the total number of days for which the x fixings are applied. i.e. the number of calendar days in the accrual period

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 determined as 100 minus the EDSP Rate, rounded as described above

Contract Standard:  Cash settlement based on the Exchange Delivery Settlement Price
Clearing:  LCH.Clearnet Ltd

Unless otherwise stated, all times are London times.

1 The value of the minimum price movement stated above is based on a standardised half-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 standardised half-basis point value and the actual half-basis point value of the position being hedged determined by the actual number of days in the accrual period.