Euribor Futures: CME Group
 

From the exchange that brought you Eurodollar pack and bundle trading

Now Available: Margin Offsets with Euribor, Eurodollar and Treasury Futures

Euribor futures provide the marketplace with another flexible, efficient, and cost effective tool for managing global interest rate exposure. Based on the Euro Interbank Offered Rate, Euribor futures trade around the clock, around the world on CME Globex, alongside Eurodollar and Treasury futures.

Euribor futures are a natural extension of CME’s highly successful Eurodollar futures contract. In addition, Euribor futures leverage the global distribution of CME Globex, offering fast and efficient access to the world’s most liquid interest rate markets.

CME is the only exchange to offer cross-margining benefits to customers trading Euribor
futures and Eurodollar futures and/or Treasury futures. Trading CME’s Euribor futures
minimizes your trading costs and makes the most of your capital while offering the greatest
variety of market opportunities available on the world’s leading electronic trading platform.

View Euribor Futures
Contract Specifications

Advantages of Euribor Futures at CME Group

  • Capital Savings: Significant margin offsets of up to 50 percent with Eurodollar and Treasury products, competitive clearing and transaction fees
  • Operational Efficiencies: Euribor futures use the same matching algorithms, implied functionality and quoting conventions that are used for our benchmark Eurodollar futures for outrights, spreads and packs and bundles
  • Unsurpassed liquidity: Access to the same transparent, deep liquidity pools across the yield curve
 

 

Product Video

Information and Resources

Contacts

Learn more about CME Group’s diversification into non-dollar products.

Chicago
Matt Gierke , Director
Interest Rate Products
+1 312 930 8543
matthew.gierke@cmegroup.com

Frederick Sturm, Director
Financial Research and Product Development
+1 312 930 1282
frederick.sturm@cmegroup.com

Contract Specifications: 3-Month Euribor Futures

Trading Unit Interest on a euro interbank deposit having approximately €1 million principal value for a term of three months, for spot settlement on 3rd Wednesday of contract Delivery Month
Delivery Months Nearest 40 months in March Quarterly cycle plus nearest 4 months not in March Quarterly cycle
Price Basis IMM price points: 100 points minus 3-month euro interbank offered rate for spot settlement on 3rd Wednesday of Delivery Month (eg, a 6.33 percent rate equals 93.67 points). One interest rate basis point (0.01 price points) equals €25 per contract.
Price Increments Nearest Delivery Month
¼ of one interest rate bp (0.0025 price points) = €6.25 per contract.

All other Delivery Months
½ of one interest rate bp (0.005 price points) = €12.50 per contract.

"New" Nearest Delivery Month futures begin trading in 0.0025 price point increments at start of final CME Globex trading session for expiring "old" Nearest Delivery Month futures, i.e., typically at 5:00 p.m. Chicago time (midnight Central Europe time) on afternoon (evening) preceding termination of trading in expiring futures.
Last Trading Day Second Trans-European Automated Real-time Gross settlement Express Transfer (TARGET) System business day before 3rd Wednesday of Delivery Month
Delivery Standard 3-month EURIBOR for spot (T+2) settlement on 3rd Wednesday of Delivery Month, rounded to nearest 1/10th of one basis point (equal to €2.50 per contract).
Delivery Method Cash settlement by mark-to-market to Final Settlement Price.
Final Settlement Price = Price Basis evaluated at Delivery Standard.
Final settlement occurs on Last Trading Day.
Block Minimum* Years 1 - 5: 2,000 contracts
Years 6 - 10: 500 contracts
* Euribor futures are eligible for block transactions as of trade date Friday, October 7, 2011, and are not eligible for block trading prior to this date.
Trading Hours CME Globex 5:00 p.m. to 4:00 p.m., Sun-Fri.
Product Ticker Symbols CME Globex: EB
Bloomberg: IEBA
Trading in expiring futures terminates at 11:00 a.m. Central Europe time (typically 4:00 a.m. Chicago time) on Last Trading Day.
Exchange Rule This contract is listed with and subject to the rules and regulations of CME.

Download PDF of Euribor contract specifications