EUR/USD Cross-Currency Basis Futures - Contract Specs
| Contract Unit | $25 x XEURBI Index |
|---|---|
| Price Quotation | Basis points |
| Trading Hours | CME Globex: Sunday - Friday 5:00 p.m. - 4:00 p.m. with a 60-minute break each day beginning at 4:00 p.m. CME ClearPort: Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. – 6:00 p.m. CT |
| Minimum Price Fluctuation | 0.25 index points = $6.25 |
| Product Code | CME Globex: XEU CME ClearPort: XEU Clearing: XEU |
| Listed Contracts | Quarterly contracts (Mar, Jun, Sep, Dec) listed for 4 consecutive quarters |
| Settlement Method | Financially Settled |
| Floating Price | The CME EUR/USD Cross Currency Basis Index measures the basis point deviation from the covered interest parity implied forward FX price. This is established by calculating the difference between the next ESTR quarterly IMM futures interest rate and the implied ESTR interest rate from the next Euro FX and SOFR quarterly IMM futures. |
| Termination of Trading | Trading terminates on the Friday prior to the IMM date |
| Settlement Procedures | |
| Position Limits | |
| Exchange Rulebook | |
| Block Minimum | |
| Price Limit or Circuit | |
| Vendor Codes |
