Chapter 481
Euro Short-Term Rate (€STR) – Three-Month Single Contract Basis Spread
Futures
48100.

SCOPE OF CHAPTER

This chapter is limited in application to Euro Short-Term Rate (€STR) – Three-Month Single
Contract Basis Spread Futures (“Spread Futures,” “futures” or “contract”). In addition to thischapter, the futures shall be subject to the general rules and regulations of the Exchange insofar asapplicable.
For purposes of this chapter, unless otherwise specified, times referred to herein shall refer to andindicate London time.

48101.

CONTRACT SPECIFICATIONS

48102.

TRADING SPECIFICATIONSEach contract is valued at €2,500 times the contract-grade IMM Index (Rule 48102.C.).

48102.A.
Trading Schedule
Futures contracts shall be scheduled for trading and delivery during such hours and in such months
as may be determined by the Exchange.
48102.B.
Trading Unit
For a contract for a given delivery month, prices shall be quoted as the value of the spread
between the expected 3-month Euribor benchmark rate and the expected compounded overnight€STR benchmark rate over the same interest period, expressed as an interest rate per annum suchthat each basis point per annum of interest shall be worth €25 per futures contract.
48102.C.
Price Increments
Daily Contract prices shall be quoted as the value of the expected spread as specified in Rule48102.B.
Example: If the value of the spread between the expected annualized rate of the 3-Month
Euribor and the expected annualized rate of the compounded overnight €STR benchmark rateover the same interest period is 0.4500, the daily price shall be quoted as 0.4500.
The minimum price fluctuation shall be 0.0025, equal to €6.25 per contract.
48102.D.
Position Limits, Exemptions, Position Accountability and Reportable Levels
The applicable position limits and/or accountability levels, in addition to the reportable levels, areset forth in the Position Limit, Position Accountability and Reportable Level Table in theInterpretations & Special Notices Section of Chapter 5.
A person seeking an exemption from position limits for bona fide commercial purposes shall apply
to the Market Regulation Department on forms provided by the Exchange, and the Market
Regulation Department may grant qualified exemptions in its sole discretion.
Refer to Rule 559 for requirements concerning the aggregation of positions and allowable
exemptions from the specified position limits.
48102.E.
[Reserved]
48102.F.
Special Price Fluctuation Limits
At the commencement of each trading day, the contract shall be subject to special price fluctuation
limits as set forth in Rule 589 and in the Special Price Fluctuation Limits and Daily Price Limits
Table in the Interpretations & Special Notices Section of Chapter 5.
48102.G.
Termination of Trading
Trading in an expiring contract shall terminate upon the dissemination of the 3-month Euribor at
11:00 a.m. Central European Time two TARGET2 business days immediately preceding the third
Wednesday of the expiring contract month48102.H.
[Reserved]

48103.

SETTLEMENT PROCEDURES© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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Delivery shall be exercised into a financial futures contract.
48103.A.
Final Settlement Price
Final settlement price, occurring two TARGET2 business days prior to the third Wednesday of theexpiring contract month (IMM Wednesday), shall be equal to the daily settlement price on three
TARGET2 business days prior to IMM Wednesday.
Assignment price into €STR contract (ESR) of same contract named month shall be at 100 minus
the 3-Month Euribor, on the final settlement date, plus the final settlement price.
Example: If 3-Month Euribor on the Monday two days before IMM Wednesday is 0.7600
percent per annum and the spread settlement on the same day is 0.4500, assignment
price will be at the IMM Index value of 99.6900 (100-0.7600+0.4500).
48103.B.
Final Settlement
Clearing members holding open positions in a contract at the time of termination of trading in thatcontract shall make payment to or receive payment from the Clearing House in accordance withnormal variation performance bond procedures based on a settlement price equal to the final
settlement price.

48104.

[RESERVED]© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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