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THREE MONTH EURO (EURIBOR) FUTURES
 


Codes and classification
Mnemo I Market NYSE Liffe London Vol. 552,303 19/11/09
    Currency € O.I. 3,505,812
 Three Month Euro (EURIBOR) Interest Rate Futures
Unit of trading €1,000,000
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
(tick size and value)		 0.005 (€12.50)
Last trading day 10.00 - Two business days prior to the third Wednesday of the delivery month
Delivery day First business day after the Last Trading Day
Trading hours 01:00 – 21:00
Related documentation
Short Term Interest Rate Contracts
Last update 06/02/09
Trading Platform:
  • LIFFE CONNECT® Trading Host for Futures and Options
  • Algorithm: Central order book applies a 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: 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).

Contract Standard:
Cash settlement based on the Exchange Delivery Settlement Price.

Unless otherwise indicated, all times are London times.