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EURIBOR derivatives at Eurex Exchange
Eurex Exchange’s EURIBOR derivatives are based on the Euro InterBank Offered Rate, the benchmark
of the euro money market. They are part of Eurex Exchange’s STIR (short-term interest rate) offering
including Mid Curve Options going out to four years, EONIA Futures as well as EUR Secured
Funding Futures. As home to the euro yield curve, Eurex Exchange offers convenient access to liquid
and deep listed and regulated interest rate markets along the entire yield curve.
At Eurex Exchange you benefit from a one-stop shop.
• Essential trading functionality including a full spread
Nine asset classes, including our interest rates portfolio that
matrix, Packs & Bundles and Strips
• Available for trading directly via terminals located in
covers the long- and short-end of the euro yield curve,
are available on one single trading platform. As all positions
the U.S.
are centrally cleared with Eurex Clearing, product users
benefit from substantial cross-margining efficiencies.
Full spread matrix
A variety of Market Making programs are in place to bolster
T7, Eurex Exchange’s trading system, supports calendar
liquidity, ensuring market depth and tight bid/ask spreads.
spreads between all maturities. Traders can directly quote
or get implied in prices from the individual legs. T7 also
Key benefits
supports synthetic matching where the implied prices from
• Attractive pricing and incentives
complex instruments can create the best outright price
• Together with fixed income derivatives, EURIBOR
in the product.
derivatives are optimally suited for the hedging of OTC
Interest Rate Swaps (IRS).
The following combinations are available:
• Cross margining within Eurex Exchange’s entire listed
interest rate complex and as well between listed and
3-month, 6-month, 9-month, 12-month Calendar Spreads,
Butterflies, Double Flies, Condors, Packs, Bundles
OTC derivatives
Contract
Product ID
Bloomberg codes
Reuters RIC
CQG Symbols
Three-Month EURIBOR Futures
FEU3
EUR003M Index
FEU3
FEU
Options on Three-Month EURIBOR
Futures
OEU3
FPA Comdty
FEU3+
GEB
One-Year Mid Curve Options on
Three-Month EURIBOR Futures
OEM1
0VA Comdty
OEM*1.EX
OE1M
Two-Year Mid Curve Options on
Three-Month EURIBOR Futures
OEM2
2VA Comdty
OEM*2.EX
OE2M
Three-Year Mid Curve Options on
Three-Month EURIBOR Futures
OEM3
3VA Comdty
OEM*3.EX
OE3M
Four-Year Mid Curve Options on
Three-Month EURIBOR Futures
OEM4
4RA Comdty
OEM*4.EX
OE3M
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Packs & Bundles and Strips
Time-pro-rata matching algorithm
With Packs & Bundles and Strips in EURIBOR Futures, we
Time pro-rata is a calculation Eurex Exchange uses to allocate
deliver greater operational efficiencies for STIR (short-term
how the quantity of an aggressing order is divided among
interest rate) traders. Hedging in money market derivatives
multiple individual resting orders competing for execution
typically requires traders to either buy or sell several outright
on the same price level where the allocation priority is based
contracts with consecutive maturity dates at once. Packs &
on a combination of both their size and their time priority
Bundles and Strips package successive contracts together in
in the queue.
order to facilitate execution. Our functionality lets you easily
execute a combination of contract months in our EURIBOR
Resting orders with higher time priority will get a larger
Futures in only one trade.
piece of the aggressing order compared to a pure pro-rata
allocation, and those resting orders with lower time priority
will receive a smaller piece of the aggressing order compared
to a pure pro-rata allocation.
The following combinations are available:
Quarterly delivery
months
Packs
Bundles
White (March)
White Pack
Two-Year Bundle
White (June)
White (September)
White (December)
Red (March)
Red Pack
Red (June)
Red (September)
Red (December)
Green (March)
Green Pack
Green (June)
Green (September)
Green (December)
Blue (March)
Blue Pack
Blue (June)
Blue (September)
Blue (December)
Gold (March)
Gold (June)
Gold (September)
Gold (December)
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Gold Pack
Three-Year Bundle
Four-Year Bundle
Five-Year Bundle
Contract specifications EURIBOR derivatives
Three-Month EURIBOR Futures
Options on Three-Month EURIBOR Futures
Product IDs
FEU3
OEU3 / OEM1, OEM2, OEM3, OEM4
Underlying
European Interbank Offered Rate for three-month
euro term deposits.
Three-Month EURIBOR Futures
Contract size
EUR 1 million
One FEU3 contract
Settlement
Cash settlement, payable on the first exchange
day following the final settlement day.
The exercise of an option contract results in
the creation of a corresponding FEU3 position.
Price quotation
In percent with 4 decimal places, expressed as
100 minus the traded rate of interest.
In points with 3 decimal places.
Minimum price change
Outright contracts & standardized futures strategies:
0.005 points (EUR 12.50)
0.005 points (EUR 12.50)
(Non-)standardized futures strip strategies:
0.0025 points (EUR 6.25)
Contract months
60 months:
the 20 nearest quarterly months of
the March, June, September and December cycle.
OEU3 – 24 months:
the six nearest calendar months as well as the six
following quarterly months of the March, June,
September and December cycle thereafter.
The maturity month of the underlying futures
contract and the expiration month of the option
are identical in the expiration months March, June,
September and December, in the other expiration
months, the maturity month of the underlying
futures contract is the cyclic quarterly month
following the expiration month of the option.
OEM1, OEM2, OEM3, OEM4 – 12 months:
the six nearest calendar months as well as the two
following quarterly months of the March, June,
September and December cycle.
Last trading day and
final settlement day
Two exchange days prior to the third Wednesday of the respective maturity / expiration month.
Close of trading in the maturing futures /expiring option series on the last trading day is at 11:00 CET.
Daily settlement price
Derived from the volume-weighted average of
the prices of all transactions during the minute
before 17:15 CET.
Determined through the binomial model according to
Cox/Ross/Rubinstein.
Exercise
American-style; an option can be exercised up to
the end of the Post-Trading Full Period (20:00 CET)
on any exchange day during the lifetime of the
option, and on the last trading day until 11:45 CET.
Exercise prices
Exercise prices with intervals of 0.125 points.
Number of exercise prices
25 (12 in-the-money / 1 at-the-money / 12 out-offthe-money)
Final settlement price
Established by Eurex Exchange at 11:00 CET,
based on the reference interest rate for three-month
euro term deposits. To fix the final settlement price,
the EURIBOR rate is rounded to three decimal places
and then subtracted from 100.
Eurex Trade Entry Services
Block Trades / Vola Trades
Minimum Block Trade size
100
Trading hours
08:00 – 19:00 CET
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For further information please contact
Sales United Kingdom
Sales Continental Europe
Vassily Pascalis
Simona Simon
T +44-20-78 62-72 11
T +49-69-211-1 82 18
[email protected]
[email protected]
Sales America
Sales Zurich
Christian Dopp
Francesca Dell’Era
T +1-312-544-10 11
T +41-43-430-71 23
[email protected]
[email protected]
Matthew Scharpf
Global Product Research and Development
T +1-312-544-10 86
Joachim Heinz
[email protected]
T +49-69-211-1 59 55
[email protected]
Order Number: E1E-110-0515
ARBN Number: Eurex Frankfurt AG ARBN 100 999 764
Neither Eurex Frankfurt AG (Eurex), nor its servants nor agents, is responsible for any errors or omissions contained in this publication which
is published for information only and shall not constitute an investment advice. Any information herein is not intended for solicitation purposes
but only for the use ofgeneral information. Eurex offers services directly to members of the Eurex market. Those wishing to trade in any
products available on the Eurex market or to offer and sell any such products to others should consider both their legal and regulatory position
in the relevant jurisdiction and the risks associated with such products before doing so.
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