| Underlying Instrument |
US domestic interbank deposit having a principal value of $1,000,000 that pays interest at a rate equal to the compounded daily effective federal funds rate during the contract's Reference Quarter. |
| Reference Quarter |
First Day: Third Wednesday of the month that is three whole months before the contract’s named expiry month.
Last Day: The day immediately preceding the day that follows the First Day by three calendar months.
The Reference Quarter is inclusive of the First Day and the Last Day. |
| Price Quote |
100 minus R where R is the realized interest rate during the Reference Quarter, with daily compounding of the effective overnight Federal Funds rate:
R = [ Πi=1…n{1 + (di/360) * (ri/100)} – 1 ] x (360/D) x 100 |
Tick Size
(minimum fluctuation) |
Contracts with four months or less to expiry: One-quarter of one basis point (0.0025 = USD 6.25).
All other contract months: One-half of one basis point (0.005 = USD 12.50) |
| Contract Months |
First eight months in the March quarterly cycle (i.e., White and Red expiry years) |
| Last Trading Day |
Last Day of Reference Quarter. Trading in expiring contracts ceases at 4:00 p.m. Chicago Time (CT) on the Last Trading Day. |
| Final Settlement |
Final Settlement Price = 100 - R
Cash settled on the first business day following the Last Day of the Reference Quarter.
Final settlement price is rounded to the nearest one-tenth (1/10) of one basis point. |
| Position Limits |
Current Position Limits |
| Block Minimum |
Block Trading Minimums |
| All or None Minimum |
All or None Minimums |
| Rulebook Chapter |
CME Chapter 460
|
Trading Hours
(All times listed are Central Time) |
OPEN OUTCRY
MON-FRI: 7:20 a.m. - 2:00 p.m.
CME GLOBEX
SUN - FRI: 5:00 p.m. - 4:00 p.m. CT
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| Ticker Symbol |
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| Exchange Rule |
These contracts are listed with, and subject to, the rules and regulations of CME. |
