ESTR Futures - Contract Specs
| Contract Unit | €2,500 x contract-grade IMM Index |
|---|---|
| Price Quotation | contract-grade IMM Index = 100 minus R R = expected ESTR Index compounded over the 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 | As defined in Rulebook section 480002.C: 0.0025 IMM Index points (¼ basis point per annum) = €6.25 Contracts with one month or less until termination: 0.00125 IMM Index points (1/8 basis point per annum) = €3.125 Final Settlement: 0.0001 IMM Index points |
| Product Code | CME Globex: ESR CME ClearPort: ESR Clearing: ESR BTIC: ERB |
| Listed Contracts | Quarterly contracts (Mar, Jun, Sep, Dec) listed for 12 consecutive quarters, serial contracts listed for 2 months, and 3 contracts in the accrual period |
| Settlement Method | Financially Settled |
| Floating Price | European Short Term Rate |
| Termination of Trading | Trading terminates one day prior to the IMM date 3 months forward from the contract identifying month. |
| Settlement Procedures | |
| Position Limits | |
| Exchange Rulebook | |
| Block Minimum | |
| Price Limit or Circuit | |
| Vendor Codes |
