Euro Short-Term Rate (€STR) - Three-Month Single Contract Basis Spread
Futures
Euro Short-Term Rate (€STR) - Three-Month Single Contract Basis Spread Futures - Contract Specs
| Contract Unit | €2,500 x contract-grade IMM Index |
|---|---|
| Price Quotation | Price = expected 3-Month Euribor rate minus expected ESTR rate compounded over contract’s reference period |
| Trading Hours | CME Globex: Sunday - Friday 5:00 p.m. - 4:00 p.m. CT with a 60-minute break each day beginning at 4:00 p.m. CT 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 | 0.0025 IMM index points (¼ basis point per annum) = €6.25 |
| Product Code | CME Globex: EUS CME ClearPort: EUS Clearing: EUS |
| Listed Contracts | Quarterly contracts (Mar, Jun, Sep, Dec) listed for 12 consecutive quarters and serial contracts listed for 2 months |
| Settlement Method | Deliverable |
| Floating Price | European Short Term Rate |
| Termination of Trading | Trading terminates at 11:00 a.m. EU time (dissemination of Euribor rate) on the Monday prior to IMM Wednesday of the contract period. |
| Settlement Procedures | |
| Position Limits | |
| Exchange Rulebook | |
| Block Minimum | |
| Price Limit or Circuit | |
| Vendor Codes |
