INTEREST RATES

European Overnight Index futures
final settlement calculation
CME Group is launching short-term Interest Rate futures based on the Euro Short-Term Rate (€STR) and on RepoFunds Rates.*
Initial listing will consist of eight full quarterly contracts, two serial contracts and three contract that will be in accrual, meaningthat they have less than three months to final expiry.
In addition to outright Overnight Index contracts, CME Group will list single contract spread futures linking the underlying
overnight index rates to the applicable primary reference rate in the country or region of origin; in this case, EURIBOR.
Later, both outright and spread futures based on the RFR rates of Germany and Italy will be listed for trading during Q4 2022. Thisnote will expound on the settlement calculation of outright futures, applicable to both €STR and RFR futures, though using €STRfor examples. A further paper will detail the settlement and assignment process that underpins Single Contract Spread futures.

3M European Overnight Index Futures Final Settlement
The final settlement price for an expiring 3M €STR futures contract is 100 minus the €STR benchmark rate, compounded over thecontract’s Reference Quarter. The Reference Quarter for 3M €STR futures is the interval from the third Wednesday (inclusive) of themonth three months prior to the delivery month, to the third Wednesday (exclusive) of the delivery month.
The definitions below make this more precise: Exhibit 1 provides a breakdown of the calculation methodology for the 3-month€STR futures calculation period.
EXHIBIT 1 – SAMPLE CALCULATIONFINAL SETTLEMENT PRICE = 100 - RR

[ Πi {1+(di/360)*(ri/100)} – 1 ] x (360/D) x 100

NNumber of TARGET securities market business days in the Reference PeriodiRunning variable indexing TARGET market business days during Reference Period

ΠiCapital pi (Π) indicates the terms of the series should be compounded.
It is the product of values indexed by the running variable, i= 1,2,…,n.

ri€STR value for ith TARGET market business day

diNumber of calendar days to which ri applies

DΣidi (i.e., number of calendar days in Reference Quarter)*Pending regulatory review

The following examples highlight three hypothetical instances in which a non-business day results in a period of accrued simple
interest, but no compounding:
EXHIBIT 2 –EXAMPLESWEEKEND

THURSDAYFRIDAY

SATURDAYSUNDAYMONDAYMay 2022

1920212223-0.585-0.585nrnr-0.586

Days in period (di)13Weekend

Weekend1[1+(di/360)*(ri/100)]0.99998

0.99995

MID-WEEK HOLIDAYMONDAYTUESDAYWEDNESDAY

THURSDAYFRIDAY

3031

123-0.531-0.541nr-0.537-0.539Days in period (di)12

New Year’sDay

11[1+(di/360)*(ri/100)]0.99999

0.999980. 99999

0.99999

LONG WEEKEND

THURSDAYFRIDAY

SATURDAYSUNDAYMONDAYTUESDAY141516171819-0.586

nrnrnrnr-0.58

Days in period (di)5Good Friday

Weekend

WeekendEasterMonday

1[1+(di/360)*(ri/100)]0.99992€STR benchmark rate (ri*)

December 2019
€STR benchmark rate (ri*)

April 2022
€STR benchmark rate (ri*)*Example rate for educational purposes only

0.99998

0.99998nr = no rate publshed

The Exchange will compute an expiring contract’s final settlement price on the morning after the contract’s last trading day, when
the benchmark €STR or RFR rate for the last day of the contract’s Reference Quarter becomes available. The final settlement priceis computed so that the value of R is rounded to the nearest 1/1,0000th of a percentage point (i.e., the nearest 1/100th of one basis
point, or 0.0001 percent per annum). In the case of a tie (a rate that ends with 0.00005 in percent per annum terms) the value of R
will be rounded up.
As the outright quarterly European Overnight Index futures final settlement will reference the realized compounded daily values ofthe underlying benchmark over a forward-looking three-month period between two IMM dates, the month symbol in the code willreference the beginning of the calculation period, not the month for final settlement. The final settlement month will be threemonths after the month referenced in the contract code.

Exhibit 3 presents a sample calculation of the final settlement for the hypothetical March 2022 €STR futures contract.
EXHIBIT 3—FINAL SETTLEMENT €STR FUTURES MARCH 2022
DATE

1

RFR

DAY COUNTDIAF 1DATE

RFR

DAY COUNTDIAF 1

3/16/2022-0.5771

0.9999839722

5/6/2022-0.58530.9999512500

3/17/2022-0.5781

0.9999839444

5/9/2022-0.5861

0.9999837222

3/18/2022-0.57830.9999518333

5/10/2022-0.5841

0.9999837778

3/21/2022-0.5781

0.9999839444

5/11/2022-0.5841

0.9999837778

3/22/2022-0.5781

0.9999839444

5/12/2022-0.5771

0.9999839722

3/23/2022-0.5781

0.9999839444

5/13/2022-0.5863

0.9999511667

3/24/2022-0.57910.9999839167

5/16/2022-0.5851

0.9999837500

3/25/2022-0.581

3

0.9999515833

5/17/2022-0.5851

0.9999837500

3/28/2022

-0.58

1

0.9999838889

5/18/2022-0.5851

0.9999837500

3/29/2022-0.57910.9999839167

5/19/2022-0.5851

0.9999837500

3/30/2022-0.57910.9999839167

5/20/2022-0.58530.9999512500

3/31/2022-0.593

1

0.9999835278

5/23/2022-0.5861

0.9999837222

4/1/2022-0.582

3

0.9999515000

5/24/2022-0.5871

0.9999836944

4/4/2022-0.5851

0.9999837500

5/25/2022-0.5871

0.9999836944

4/5/2022-0.5861

0.9999837222

5/26/2022

-0.59

1

0.9999836111

4/6/2022-0.5841

0.9999837778

5/27/2022-0.58530.9999512500

4/7/2022-0.582

1

0.9999838333

5/30/2022-0.5861

0.9999837222

4/8/2022-0.583

30.9999514167

5/31/2022-0.58910.9999836389

4/11/2022-0.5841

0.9999837778

6/1/2022-0.582

1

0.9999838333

4/12/2022-0.583

1

0.9999838056

6/2/2022-0.5851

0.9999837500

4/13/2022-0.5851

0.9999837500

6/3/2022-0.5873

0.9999510833

4/14/2022-0.5865

0.9999186111

6/6/2022-0.59

10.9999836111

4/19/2022

-0.58

1

0.9999838889

6/7/2022-0.583

1

0.9999838056

4/20/2022-0.583

1

0.9999838056

6/8/2022-0.582

1

0.9999838333

4/21/2022-0.5851

0.9999837500

6/9/2022-0.582

1

0.9999838333

4/22/2022-0.583

30.9999514167

6/10/2022-0.581

3

0.9999515833

4/25/2022-0.5851

0.9999837500

6/13/2022

-0.58

1

0.9999838889

4/26/2022-0.582

1

0.9999838333

6/14/2022-0.5781

0.9999839444

4/27/2022-0.583

1

0.9999838056

4/28/2022-0.583

1

0.9999838056

4/29/2022-0.5863

0.9999511667

5/2/2022-0.583

1

0.9999838056

5/3/2022-0.57910.9999839167

5/4/2022-0.5851

0.9999837500

5/5/2022-0.5851

0.9999837500

CAPITAL PI TERM

0.99853

ANNUALIZED (SUBTRACT 1 MULTIPLY BY 360/91)-0.00583

COMPOUNDED RFR RATE:-0.58304%

ROUNDED TO NEAREST 1/100 BP:-0.58300%

CONTRACT SETTLEMENT:

100.5830

Daily Interest Accumulation Factor = {1+(Day Count/360) * €STR in %} or {1+(di/360)*(ri/100)} from the calculation formulacmegroup.com
Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Swaps trading should only be undertaken by investors who are Eligible Contract
Participants (ECPs) within the meaning of Section 1a(18) of the Commodity Exchange Act. Futures and swaps each are leveraged investments and, because only a percentage of a contract’s value
is required to trade, it is possible to lose more than the amount of money deposited for either a futures or swaps position. Therefore, traders should only use funds that they can afford to lose
without affecting their lifestyles and only a portion of those funds should be devoted to any one trade because traders cannot expect to profit on every trade.
CME Group, the Globe Logo, CME, Globex, E-Mini, CME Direct, CME DataMine and Chicago Mercantile Exchange are trademarks of Chicago Mercantile Exchange Inc. CBOT is a trademark of theBoard of Trade of the City of Chicago, Inc. NYMEX is a trademark of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. All other trademarks are the propertyof their respective owners.
The information within this communication has been compiled by CME Group for general purposes only. CME Group assumes no responsibility for any errors or omissions. Additionally, all examples
in this communication are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. All matterspertaining to rules and specifications herein are made subject to and superseded by official CME, CBOT, NYMEX and COMEX rules. Current rules should be consulted in all cases concerning
contract specifications.
Copyright © 2022 CME Group Inc. All rights reserved

PM22IR010/0922