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Product information

 Three Month Euro Swiss Franc (Euroswiss) Interest Rate Futures
Unit of trading SFr 1,000,000
Delivery months March, June, September, December, such that twelve quarterly delivery months are always available for trading
Quotation 100.000 minus rate of interest
Minimum price movement
(tick size and value)		 0.01(SFr25)
Last trading day 11:00 - Two business days prior to the third Wednesday of the delivery month
Delivery day First business day after the Last Trading Day
Trading hours 07:30 - 18:00 London time
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 British Bankers’ Association London Interbank Offered Rate (BBA LIBOR) for three month Euroswiss Franc deposits at 11:00 on the Last Trading Day. The settlement price will be 100.00 minus the BBA LIBOR 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 BBA LIBOR of 1.43750 becomes 1.437).
Contract Standard:
Cash settlement based on the Exchange Delivery Settlement Price.
Clearing:
LCH.Clearnet

Unless otherwise indicated, all times are London times.