Three-Month EURIBOR Future (NYSE Euronext) - Financial definition
Concise definition of the term Three-Month EURIBOR Future
Futures contract on short term interest rates, traded on NYSE Euronext in London. Its underlying is a 3-month, 1 million euro deposit invested at the 3-month EURIBOR rate calculated by the European Banking Federation ([ACR0000992S]EBF[ACR0000992E]).
Comprehensive definition of the term Three-Month EURIBOR Future
The 3-month EURIBOR contract traded on NYSE Euronext is the reference contract for short term Euro interest rates with an average volume close to 1 million contracts exchanged every day. With 20 hours of trading a day, it can be traded in Asia, the United States and Europe.
Contract specifications
| Market code | I1 |
| Reuters code | FEI1 |
| Bloomberg ticker | ERA1 |
| Currency | EUR |
| Market | NYSE Liffe London |
| Trading hours | 1.00h - 6.00h and 7.00h - 21h (GMT) |
| Contract value | 1 000 000 EUR |
| Minimum price change | 0.005 |
| Tick value | 12.50 EUR |
| Settlement | Cash settlement |
| Quotation mode | 100 - interest rate (EURIBOR). A rate of 2.25% would thus be quoted as (100 - 2.25) = 97.75. |
| Contract 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. |
| Last trading day | Two business days prior to the third Wednesday of the expiry month or, if that day is not a business day, the following business day. |
| Settlement day | First business day after the last trading day. |
1 These codes are completed with two characters representing the given contract's delivery month: a letter to designate the month (H = March, M = June, U = September, Z = December), and one digit to designate the year (for example 4 for 2014). The March 2014 3-month EURIBOR contract would hence have the Reuters code IH4.