ICE Eris EURIBOR IMM 6M Interest Rate

€100,000 notional principal whose value is based upon the difference between a stream of annual fixed interest payments and a stream of quarterly or semi-annual floating interest payments based on 3 month or 6-month EURIBOR®, over a term to maturity. The ICE has futures contracts for interest rates at 2 years, 3 years, 5 years, 7 years, 10 years, and 30 years.
== Contract Specs ==
Eris EURIBOR 2YR IMM 6M Interest Rate Future	Eris EURIBOR 2YR IMM 6M Interest Rate Future 	Eris EURIBOR 2YR IMM 6M Interest Rate Future 	Eris EURIBOR 2YR IMM 6M Interest Rate Future
Trading Screen Product Name 	Eris EURIBOR 2YR IMM 6M Interest Rate Future (-0.50%) 	Eris EURIBOR 2YR IMM 6M Interest Rate Future (-0.50%) 	Eris EURIBOR 2YR IMM 6M Interest Rate Future (-0.50%)
Trading Screen Hub Name 	ICEU 	ICEU 	ICEU
Underlying Tenor 	The duration of time from the Effective Date to the Cash Flow Alignment Date (CFAD).
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 years vs 3-month or 6-month EURIBOR®, and 30 years vs 6-month EURIBOR®. 	The duration of time from the Effective Date to the Cash Flow Alignment Date (CFAD).
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 years vs 3-month or 6-month EURIBOR®, and 30 years vs 6-month EURIBOR®. 	The duration of time from the Effective Date to the Cash Flow Alignment Date (CFAD).
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 years vs 3-month or 6-month EURIBOR®, and 30 years vs 6-month EURIBOR®.
Fixed Rate 	Fixed Rate will be set in 25 basis point increments and determined prior to Contract listing 	Fixed Rate will be set in 25 basis point increments and determined prior to Contract listing 	Fixed Rate will be set in 25 basis point increments and determined prior to Contract listing
Contract Symbol 	Determined by Exchange Logical Code and Fixed Rate
Contract Logical Code list by Tenor
6-month, IMM: 2F - 2O (1 year - 10 year)
6-month, IMM: 2S (30 year)
3-month, IMM: 3F - 3O (1 year - 10 year) 	Determined by Exchange Logical Code and Fixed Rate
Contract Logical Code list by Tenor
6-month, IMM: 2F - 2O (1 year - 10 year)
6-month, IMM: 2S (30 year)
3-month, IMM: 3F - 3O (1 year - 10 year) 	Determined by Exchange Logical Code and Fixed Rate
Contract Logical Code list by Tenor
6-month, IMM: 2F - 2O (1 year - 10 year)
6-month, IMM: 2S (30 year)
3-month, IMM: 3F - 3O (1 year - 10 year)
Contract Size 	1 Contract = 1 lot = €100,000 face value 	1 Contract = 1 lot = €100,000 face value 	1 Contract = 1 lot = €100,000 face value
Trading Conventions 	Buy = Receive Fixed
Sell = Pay Fixed 	Buy = Receive Fixed
Sell = Pay Fixed 	Buy = Receive Fixed
Sell = Pay Fixed
Futures Conventions 	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: 30/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Floating Leg
• Reset Frequency: Semi-Annual or Quarterly
• Day Count Convention: Actual/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: 30/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Floating Leg
• Reset Frequency: Semi-Annual or Quarterly
• Day Count Convention: Actual/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: 30/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Floating Leg
• Reset Frequency: Semi-Annual or Quarterly
• Day Count Convention: Actual/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Effective Date 	Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16 2022” or “Mar 22”) 	Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16 2022” or “Mar 22”) 	Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16 2022” or “Mar 22”)
Maturity Date 	Cash Flow Alignment Date (“CFAD”) is The Maturity Date
The final date to which fixed and floating amounts accrue. The last date of the contract. The Maturity Date is determined by applying the Underlying Tenor to the Effective Date and selecting the nearest Modified Following† 3rd Wednesday of the month.
The Maturity Date may also be referred to as the Termination Date†	Cash Flow Alignment Date (“CFAD”) is The Maturity Date
The final date to which fixed and floating amounts accrue. The last date of the contract. The Maturity Date is determined by applying the Underlying Tenor to the Effective Date and selecting the nearest Modified Following† 3rd Wednesday of the month.
The Maturity Date may also be referred to as the Termination Date†	Cash Flow Alignment Date (“CFAD”) is The Maturity Date
The final date to which fixed and floating amounts accrue. The last date of the contract. The Maturity Date is determined by applying the Underlying Tenor to the Effective Date and selecting the nearest Modified Following† 3rd Wednesday of the month.
The Maturity Date may also be referred to as the Termination Date†
Remaining Tenor 	The duration of time from today to the Maturity Date 	The duration of time from today to the Maturity Date 	The duration of time from today to the Maturity Date
Reset Dates 	The Effective Date and each Notional Floating Payment Date other than the Maturity Date 	The Effective Date and each Notional Floating Payment Date other than the Maturity Date 	The Effective Date and each Notional Floating Payment Date other than the Maturity Date
Last Trading Day 	The last day on which the Contract can be traded is the Holiday Calendar business day preceding the Maturity Date. On the Last Trading Day trading will cease at 6:00 PM London Time 	The last day on which the Contract can be traded is the Holiday Calendar business day preceding the Maturity Date. On the Last Trading Day trading will cease at 6:00 PM London Time 	The last day on which the Contract can be traded is the Holiday Calendar business day preceding the Maturity Date. On the Last Trading Day trading will cease at 6:00 PM London Time
Fixing Dates 	Two business days prior to the IMM Date, quarterly or semiannually, after the effective date. 	Two business days prior to the IMM Date, quarterly or semiannually, after the effective date. 	Two business days prior to the IMM Date, quarterly or semiannually, after the effective date.
Floating Rate Index 	3 month or 6-month EURIBOR administered by the European Money Markets Institute (EMMI) 	3 month or 6-month EURIBOR administered by the European Money Markets Institute (EMMI) 	3 month or 6-month EURIBOR administered by the European Money Markets Institute (EMMI)
Daily Settlement Price Quotation 	ICE Futures Europe Eris EUR Interest Rate Futures are priced on a basis of 100, similar to market practice for bonds and other futures contracts
The Daily Settlement Price for each Contract is defined as:
St = 100 + At + Bt - Ct
St = Settlement price at time t
At = Net Present Value (“NPV”) of the future cash flows at time t, based on OIS discounting
Bt = Value of historical fixed and floating amounts from the first trade date
Ct = Price Alignment Interest (PAI††)
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Euro Short Term Rate (€STR) rate to the Contract’s NPV, using the day count convention specified above for the Floating Price Leg. PAI†† will start accruing on the first trade date	ICE Futures Europe Eris EUR Interest Rate Futures are priced on a basis of 100, similar to market practice for bonds and other futures contracts
The Daily Settlement Price for each Contract is defined as:
St = 100 + At + Bt - Ct
St = Settlement price at time t
At = Net Present Value (“NPV”) of the future cash flows at time t, based on OIS discounting
Bt = Value of historical fixed and floating amounts from the first trade date
Ct = Price Alignment Interest (PAI††)
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Euro Short Term Rate (€STR) rate to the Contract’s NPV, using the day count convention specified above for the Floating Price Leg. PAI†† will start accruing on the first trade date	ICE Futures Europe Eris EUR Interest Rate Futures are priced on a basis of 100, similar to market practice for bonds and other futures contracts
The Daily Settlement Price for each Contract is defined as:
St = 100 + At + Bt - Ct
St = Settlement price at time t
At = Net Present Value (“NPV”) of the future cash flows at time t, based on OIS discounting
Bt = Value of historical fixed and floating amounts from the first trade date
Ct = Price Alignment Interest (PAI††)
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Euro Short Term Rate (€STR) rate to the Contract’s NPV, using the day count convention specified above for the Floating Price Leg. PAI†† will start accruing on the first trade date
Final Settlement Price Quotation 	Sfinal = 100 + Bfinal – Cfinal
Sfinal = Settlement price on the Maturity Date
Bfinal = Historical fixed and floating amounts starting from the first trade date through the Maturity Date
Cfinal = PAI††, on the Maturity Date
IFEU calculates Final Settlement Price to 4 decimals of precision (e.g. 100.1234)	Sfinal = 100 + Bfinal – Cfinal
Sfinal = Settlement price on the Maturity Date
Bfinal = Historical fixed and floating amounts starting from the first trade date through the Maturity Date
Cfinal = PAI††, on the Maturity Date
IFEU calculates Final Settlement Price to 4 decimals of precision (e.g. 100.1234)	Sfinal = 100 + Bfinal – Cfinal
Sfinal = Settlement price on the Maturity Date
Bfinal = Historical fixed and floating amounts starting from the first trade date through the Maturity Date
Cfinal = PAI††, on the Maturity Date
IFEU calculates Final Settlement Price to 4 decimals of precision (e.g. 100.1234)
Quotation 	• 0.001 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is less than 2 years
• 0.002 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 2 years and less than 4 years
• 0.005 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 4 years and less than 7 years
• 0.010 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 7 years and less than 20 years
• 0.020 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 20 years	• 0.001 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is less than 2 years
• 0.002 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 2 years and less than 4 years
• 0.005 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 4 years and less than 7 years
• 0.010 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 7 years and less than 20 years
• 0.020 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 20 years	• 0.001 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is less than 2 years
• 0.002 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 2 years and less than 4 years
• 0.005 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 4 years and less than 7 years
• 0.010 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 7 years and less than 20 years
• 0.020 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 20 years
Block Trade Minimum 	550 lots for Contracts with Remaining Tenor up to and including 4 years,
350 lots for Contracts with Remaining Tenor greater than 4 years and up to and including 9 years
250 lots for Contracts with Remaining Tenor greater than 9 years and up to and including 12 years
50 lots for Contracts with Remaining Tenor greater than 12 years	550 lots for Contracts with Remaining Tenor up to and including 4 years,
350 lots for Contracts with Remaining Tenor greater than 4 years and up to and including 9 years
250 lots for Contracts with Remaining Tenor greater than 9 years and up to and including 12 years
50 lots for Contracts with Remaining Tenor greater than 12 years	550 lots for Contracts with Remaining Tenor up to and including 4 years,
350 lots for Contracts with Remaining Tenor greater than 4 years and up to and including 9 years
250 lots for Contracts with Remaining Tenor greater than 9 years and up to and including 12 years
50 lots for Contracts with Remaining Tenor greater than 12 years
Trading Methods 	ICE Futures Europe Eris Standard EUR Interest Rate Futures are allowed to be traded as Basis Trades. Basis Trades must be executed and reported pursuant to IFEU Rules under Section F.5.C in the IFEU Rulebook and Trading Procedure 16A	ICE Futures Europe Eris Standard EUR Interest Rate Futures are allowed to be traded as Basis Trades. Basis Trades must be executed and reported pursuant to IFEU Rules under Section F.5.C in the IFEU Rulebook and Trading Procedure 16A	ICE Futures Europe Eris Standard EUR Interest Rate Futures are allowed to be traded as Basis Trades. Basis Trades must be executed and reported pursuant to IFEU Rules under Section F.5.C in the IFEU Rulebook and Trading Procedure 16A
Other Information 	†As defined by ISDA
††As calculated using the Eris Futures Exchange pricing methodology, known as the Eris Methodology™ 	†As defined by ISDA
††As calculated using the Eris Futures Exchange pricing methodology, known as the Eris Methodology™ 	†As defined by ISDA
††As calculated using the Eris Futures Exchange pricing methodology, known as the Eris Methodology™
MIC Code 	IFLL 	IFLL 	IFLL
Clearing Venues 	ICEU 	ICEU 	ICEU
Trading Hours 	CITY 	TRADING 	PRE-OPEN
Trading Hours 	NEW YORK 	2:00 AM - 1:00 PM
02:00 - 13:00 	1:03 AM
01:03
Trading Hours 	LONDON 	7:00 AM - 6:00 PM
07:00 - 18:00 	6:03 AM
06:03
Trading Hours 	SINGAPORE 	2:00 PM - 1:00 AM
14:00 - 01:00 	1:03 PM
13:03
Codes 	Clearing Admin Name 	IR Future EUR 	IR Future EUR
Codes 	Physical 	2G 	2G
Codes 	Logical 	2G 	2G
Codes 	GMI (FC) 	None 	None
Codes 	ION A.C.N. 	None 	None
Eris EURIBOR 3YR IMM 6M Interest Rate Future	Eris EURIBOR 3YR IMM 6M Interest Rate Future 	Eris EURIBOR 3YR IMM 6M Interest Rate Future 	Eris EURIBOR 3YR IMM 6M Interest Rate Future
Trading Screen Product Name 	Eris EURIBOR 3YR IMM 6M Interest Rate Future (-0.50%) 	Eris EURIBOR 3YR IMM 6M Interest Rate Future (-0.50%) 	Eris EURIBOR 3YR IMM 6M Interest Rate Future (-0.50%)
Trading Screen Hub Name 	ICEU 	ICEU 	ICEU
Underlying Tenor 	The duration of time from the Effective Date to the Cash Flow Alignment Date (CFAD).
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 years vs 3-month or 6-month EURIBOR®, and 30 years vs 6-month EURIBOR®. 	The duration of time from the Effective Date to the Cash Flow Alignment Date (CFAD).
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 years vs 3-month or 6-month EURIBOR®, and 30 years vs 6-month EURIBOR®. 	The duration of time from the Effective Date to the Cash Flow Alignment Date (CFAD).
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 years vs 3-month or 6-month EURIBOR®, and 30 years vs 6-month EURIBOR®.
Fixed Rate 	Fixed Rate will be set in 25 basis point increments and determined prior to Contract listing 	Fixed Rate will be set in 25 basis point increments and determined prior to Contract listing 	Fixed Rate will be set in 25 basis point increments and determined prior to Contract listing
Contract Symbol 	Determined by Exchange Logical Code and Fixed Rate
Contract Logical Code list by Tenor
6-month, IMM: 2F - 2O (1 year - 10 year)
6-month, IMM: 2S (30 year)
3-month, IMM: 3F - 3O (1 year - 10 year) 	Determined by Exchange Logical Code and Fixed Rate
Contract Logical Code list by Tenor
6-month, IMM: 2F - 2O (1 year - 10 year)
6-month, IMM: 2S (30 year)
3-month, IMM: 3F - 3O (1 year - 10 year) 	Determined by Exchange Logical Code and Fixed Rate
Contract Logical Code list by Tenor
6-month, IMM: 2F - 2O (1 year - 10 year)
6-month, IMM: 2S (30 year)
3-month, IMM: 3F - 3O (1 year - 10 year)
Contract Size 	1 Contract = 1 lot = €100,000 face value 	1 Contract = 1 lot = €100,000 face value 	1 Contract = 1 lot = €100,000 face value
Trading Conventions 	Buy = Receive Fixed
Sell = Pay Fixed 	Buy = Receive Fixed
Sell = Pay Fixed 	Buy = Receive Fixed
Sell = Pay Fixed
Futures Conventions 	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: 30/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Floating Leg
• Reset Frequency: Semi-Annual or Quarterly
• Day Count Convention: Actual/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: 30/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Floating Leg
• Reset Frequency: Semi-Annual or Quarterly
• Day Count Convention: Actual/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: 30/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Floating Leg
• Reset Frequency: Semi-Annual or Quarterly
• Day Count Convention: Actual/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Effective Date 	Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16 2022” or “Mar 22”) 	Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16 2022” or “Mar 22”) 	Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16 2022” or “Mar 22”)
Maturity Date 	Cash Flow Alignment Date (“CFAD”) is The Maturity Date
The final date to which fixed and floating amounts accrue. The last date of the contract. The Maturity Date is determined by applying the Underlying Tenor to the Effective Date and selecting the nearest Modified Following† 3rd Wednesday of the month.
The Maturity Date may also be referred to as the Termination Date†	Cash Flow Alignment Date (“CFAD”) is The Maturity Date
The final date to which fixed and floating amounts accrue. The last date of the contract. The Maturity Date is determined by applying the Underlying Tenor to the Effective Date and selecting the nearest Modified Following† 3rd Wednesday of the month.
The Maturity Date may also be referred to as the Termination Date†	Cash Flow Alignment Date (“CFAD”) is The Maturity Date
The final date to which fixed and floating amounts accrue. The last date of the contract. The Maturity Date is determined by applying the Underlying Tenor to the Effective Date and selecting the nearest Modified Following† 3rd Wednesday of the month.
The Maturity Date may also be referred to as the Termination Date†
Remaining Tenor 	The duration of time from today to the Maturity Date 	The duration of time from today to the Maturity Date 	The duration of time from today to the Maturity Date
Reset Dates 	The Effective Date and each Notional Floating Payment Date other than the Maturity Date 	The Effective Date and each Notional Floating Payment Date other than the Maturity Date 	The Effective Date and each Notional Floating Payment Date other than the Maturity Date
Last Trading Day 	The last day on which the Contract can be traded is the Holiday Calendar business day preceding the Maturity Date. On the Last Trading Day trading will cease at 6:00 PM London Time 	The last day on which the Contract can be traded is the Holiday Calendar business day preceding the Maturity Date. On the Last Trading Day trading will cease at 6:00 PM London Time 	The last day on which the Contract can be traded is the Holiday Calendar business day preceding the Maturity Date. On the Last Trading Day trading will cease at 6:00 PM London Time
Fixing Dates 	Two business days prior to the IMM Date, quarterly or semiannually, after the effective date. 	Two business days prior to the IMM Date, quarterly or semiannually, after the effective date. 	Two business days prior to the IMM Date, quarterly or semiannually, after the effective date.
Floating Rate Index 	3 month or 6-month EURIBOR administered by the European Money Markets Institute (EMMI) 	3 month or 6-month EURIBOR administered by the European Money Markets Institute (EMMI) 	3 month or 6-month EURIBOR administered by the European Money Markets Institute (EMMI)
Daily Settlement Price Quotation 	ICE Futures Europe Eris EUR Interest Rate Futures are priced on a basis of 100, similar to market practice for bonds and other futures contracts
The Daily Settlement Price for each Contract is defined as:
St = 100 + At + Bt - Ct
St = Settlement price at time t
At = Net Present Value (“NPV”) of the future cash flows at time t, based on OIS discounting
Bt = Value of historical fixed and floating amounts from the first trade date
Ct = Price Alignment Interest (PAI††)
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Euro Short Term Rate (€STR) rate to the Contract’s NPV, using the day count convention specified above for the Floating Price Leg. PAI†† will start accruing on the first trade date	ICE Futures Europe Eris EUR Interest Rate Futures are priced on a basis of 100, similar to market practice for bonds and other futures contracts
The Daily Settlement Price for each Contract is defined as:
St = 100 + At + Bt - Ct
St = Settlement price at time t
At = Net Present Value (“NPV”) of the future cash flows at time t, based on OIS discounting
Bt = Value of historical fixed and floating amounts from the first trade date
Ct = Price Alignment Interest (PAI††)
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Euro Short Term Rate (€STR) rate to the Contract’s NPV, using the day count convention specified above for the Floating Price Leg. PAI†† will start accruing on the first trade date	ICE Futures Europe Eris EUR Interest Rate Futures are priced on a basis of 100, similar to market practice for bonds and other futures contracts
The Daily Settlement Price for each Contract is defined as:
St = 100 + At + Bt - Ct
St = Settlement price at time t
At = Net Present Value (“NPV”) of the future cash flows at time t, based on OIS discounting
Bt = Value of historical fixed and floating amounts from the first trade date
Ct = Price Alignment Interest (PAI††)
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Euro Short Term Rate (€STR) rate to the Contract’s NPV, using the day count convention specified above for the Floating Price Leg. PAI†† will start accruing on the first trade date
Final Settlement Price Quotation 	Sfinal = 100 + Bfinal – Cfinal
Sfinal = Settlement price on the Maturity Date
Bfinal = Historical fixed and floating amounts starting from the first trade date through the Maturity Date
Cfinal = PAI††, on the Maturity Date
IFEU calculates Final Settlement Price to 4 decimals of precision (e.g. 100.1234)	Sfinal = 100 + Bfinal – Cfinal
Sfinal = Settlement price on the Maturity Date
Bfinal = Historical fixed and floating amounts starting from the first trade date through the Maturity Date
Cfinal = PAI††, on the Maturity Date
IFEU calculates Final Settlement Price to 4 decimals of precision (e.g. 100.1234)	Sfinal = 100 + Bfinal – Cfinal
Sfinal = Settlement price on the Maturity Date
Bfinal = Historical fixed and floating amounts starting from the first trade date through the Maturity Date
Cfinal = PAI††, on the Maturity Date
IFEU calculates Final Settlement Price to 4 decimals of precision (e.g. 100.1234)
Quotation 	• 0.001 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is less than 2 years
• 0.002 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 2 years and less than 4 years
• 0.005 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 4 years and less than 7 years
• 0.010 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 7 years and less than 20 years
• 0.020 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 20 years	• 0.001 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is less than 2 years
• 0.002 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 2 years and less than 4 years
• 0.005 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 4 years and less than 7 years
• 0.010 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 7 years and less than 20 years
• 0.020 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 20 years	• 0.001 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is less than 2 years
• 0.002 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 2 years and less than 4 years
• 0.005 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 4 years and less than 7 years
• 0.010 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 7 years and less than 20 years
• 0.020 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 20 years
Block Trade Minimum 	550 lots for Contracts with Remaining Tenor up to and including 4 years,
350 lots for Contracts with Remaining Tenor greater than 4 years and up to and including 9 years
250 lots for Contracts with Remaining Tenor greater than 9 years and up to and including 12 years
50 lots for Contracts with Remaining Tenor greater than 12 years	550 lots for Contracts with Remaining Tenor up to and including 4 years,
350 lots for Contracts with Remaining Tenor greater than 4 years and up to and including 9 years
250 lots for Contracts with Remaining Tenor greater than 9 years and up to and including 12 years
50 lots for Contracts with Remaining Tenor greater than 12 years	550 lots for Contracts with Remaining Tenor up to and including 4 years,
350 lots for Contracts with Remaining Tenor greater than 4 years and up to and including 9 years
250 lots for Contracts with Remaining Tenor greater than 9 years and up to and including 12 years
50 lots for Contracts with Remaining Tenor greater than 12 years
Trading Methods 	ICE Futures Europe Eris Standard EUR Interest Rate Futures are allowed to be traded as Basis Trades. Basis Trades must be executed and reported pursuant to IFEU Rules under Section F.5.C in the IFEU Rulebook and Trading Procedure 16A	ICE Futures Europe Eris Standard EUR Interest Rate Futures are allowed to be traded as Basis Trades. Basis Trades must be executed and reported pursuant to IFEU Rules under Section F.5.C in the IFEU Rulebook and Trading Procedure 16A	ICE Futures Europe Eris Standard EUR Interest Rate Futures are allowed to be traded as Basis Trades. Basis Trades must be executed and reported pursuant to IFEU Rules under Section F.5.C in the IFEU Rulebook and Trading Procedure 16A
Other Information 	†As defined by ISDA
††As calculated using the Eris Futures Exchange pricing methodology, known as the Eris Methodology™ 	†As defined by ISDA
††As calculated using the Eris Futures Exchange pricing methodology, known as the Eris Methodology™ 	†As defined by ISDA
††As calculated using the Eris Futures Exchange pricing methodology, known as the Eris Methodology™
MIC Code 	IFLL 	IFLL 	IFLL
Clearing Venues 	ICEU 	ICEU 	ICEU
Trading Hours 	CITY 	TRADING 	PRE-OPEN
Trading Hours 	NEW YORK 	2:00 AM - 1:00 PM
02:00 - 13:00 	1:03 AM
01:03
Trading Hours 	LONDON 	7:00 AM - 6:00 PM
07:00 - 18:00 	6:03 AM
06:03
Trading Hours 	SINGAPORE 	2:00 PM - 1:00 AM
14:00 - 01:00 	1:03 PM
13:03
Codes 	Clearing Admin Name 	IR Future EUR 	IR Future EUR
Codes 	Physical 	2H 	2H
Codes 	Logical 	2H 	2H
Codes 	GMI (FC) 	None 	None
Codes 	ION A.C.N. 	None 	None
Eris EURIBOR 5YR IMM 6M Interest Rate Future	Eris EURIBOR 5YR IMM 6M Interest Rate Future 	Eris EURIBOR 5YR IMM 6M Interest Rate Future 	Eris EURIBOR 5YR IMM 6M Interest Rate Future
Trading Screen Product Name 	Eris EURIBOR 5YR IMM 6M Interest Rate Future (-0.50%) 	Eris EURIBOR 5YR IMM 6M Interest Rate Future (-0.50%) 	Eris EURIBOR 5YR IMM 6M Interest Rate Future (-0.50%)
Trading Screen Hub Name 	ICEU 	ICEU 	ICEU
Underlying Tenor 	The duration of time from the Effective Date to the Cash Flow Alignment Date (CFAD).
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 years vs 3-month or 6-month EURIBOR®, and 30 years vs 6-month EURIBOR®. 	The duration of time from the Effective Date to the Cash Flow Alignment Date (CFAD).
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 years vs 3-month or 6-month EURIBOR®, and 30 years vs 6-month EURIBOR®. 	The duration of time from the Effective Date to the Cash Flow Alignment Date (CFAD).
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 years vs 3-month or 6-month EURIBOR®, and 30 years vs 6-month EURIBOR®.
Fixed Rate 	Fixed Rate will be set in 25 basis point increments and determined prior to Contract listing 	Fixed Rate will be set in 25 basis point increments and determined prior to Contract listing 	Fixed Rate will be set in 25 basis point increments and determined prior to Contract listing
Contract Symbol 	Determined by Exchange Logical Code and Fixed Rate
Contract Logical Code list by Tenor
6-month, IMM: 2F - 2O (1 year - 10 year)
6-month, IMM: 2S (30 year)
3-month, IMM: 3F - 3O (1 year - 10 year) 	Determined by Exchange Logical Code and Fixed Rate
Contract Logical Code list by Tenor
6-month, IMM: 2F - 2O (1 year - 10 year)
6-month, IMM: 2S (30 year)
3-month, IMM: 3F - 3O (1 year - 10 year) 	Determined by Exchange Logical Code and Fixed Rate
Contract Logical Code list by Tenor
6-month, IMM: 2F - 2O (1 year - 10 year)
6-month, IMM: 2S (30 year)
3-month, IMM: 3F - 3O (1 year - 10 year)
Contract Size 	1 Contract = 1 lot = €100,000 face value 	1 Contract = 1 lot = €100,000 face value 	1 Contract = 1 lot = €100,000 face value
Trading Conventions 	Buy = Receive Fixed
Sell = Pay Fixed 	Buy = Receive Fixed
Sell = Pay Fixed 	Buy = Receive Fixed
Sell = Pay Fixed
Futures Conventions 	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: 30/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Floating Leg
• Reset Frequency: Semi-Annual or Quarterly
• Day Count Convention: Actual/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: 30/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Floating Leg
• Reset Frequency: Semi-Annual or Quarterly
• Day Count Convention: Actual/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: 30/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Floating Leg
• Reset Frequency: Semi-Annual or Quarterly
• Day Count Convention: Actual/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Effective Date 	Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16 2022” or “Mar 22”) 	Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16 2022” or “Mar 22”) 	Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16 2022” or “Mar 22”)
Maturity Date 	Cash Flow Alignment Date (“CFAD”) is The Maturity Date
The final date to which fixed and floating amounts accrue. The last date of the contract. The Maturity Date is determined by applying the Underlying Tenor to the Effective Date and selecting the nearest Modified Following† 3rd Wednesday of the month.
The Maturity Date may also be referred to as the Termination Date†	Cash Flow Alignment Date (“CFAD”) is The Maturity Date
The final date to which fixed and floating amounts accrue. The last date of the contract. The Maturity Date is determined by applying the Underlying Tenor to the Effective Date and selecting the nearest Modified Following† 3rd Wednesday of the month.
The Maturity Date may also be referred to as the Termination Date†	Cash Flow Alignment Date (“CFAD”) is The Maturity Date
The final date to which fixed and floating amounts accrue. The last date of the contract. The Maturity Date is determined by applying the Underlying Tenor to the Effective Date and selecting the nearest Modified Following† 3rd Wednesday of the month.
The Maturity Date may also be referred to as the Termination Date†
Remaining Tenor 	The duration of time from today to the Maturity Date 	The duration of time from today to the Maturity Date 	The duration of time from today to the Maturity Date
Reset Dates 	The Effective Date and each Notional Floating Payment Date other than the Maturity Date 	The Effective Date and each Notional Floating Payment Date other than the Maturity Date 	The Effective Date and each Notional Floating Payment Date other than the Maturity Date
Last Trading Day 	The last day on which the Contract can be traded is the Holiday Calendar business day preceding the Maturity Date. On the Last Trading Day trading will cease at 6:00 PM London Time 	The last day on which the Contract can be traded is the Holiday Calendar business day preceding the Maturity Date. On the Last Trading Day trading will cease at 6:00 PM London Time 	The last day on which the Contract can be traded is the Holiday Calendar business day preceding the Maturity Date. On the Last Trading Day trading will cease at 6:00 PM London Time
Fixing Dates 	Two business days prior to the IMM Date, quarterly or semiannually, after the effective date. 	Two business days prior to the IMM Date, quarterly or semiannually, after the effective date. 	Two business days prior to the IMM Date, quarterly or semiannually, after the effective date.
Floating Rate Index 	3 month or 6-month EURIBOR administered by the European Money Markets Institute (EMMI) 	3 month or 6-month EURIBOR administered by the European Money Markets Institute (EMMI) 	3 month or 6-month EURIBOR administered by the European Money Markets Institute (EMMI)
Daily Settlement Price Quotation 	ICE Futures Europe Eris EUR Interest Rate Futures are priced on a basis of 100, similar to market practice for bonds and other futures contracts
The Daily Settlement Price for each Contract is defined as:
St = 100 + At + Bt - Ct
St = Settlement price at time t
At = Net Present Value (“NPV”) of the future cash flows at time t, based on OIS discounting
Bt = Value of historical fixed and floating amounts from the first trade date
Ct = Price Alignment Interest (PAI††)
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Euro Short Term Rate (€STR) rate to the Contract’s NPV, using the day count convention specified above for the Floating Price Leg. PAI†† will start accruing on the first trade date	ICE Futures Europe Eris EUR Interest Rate Futures are priced on a basis of 100, similar to market practice for bonds and other futures contracts
The Daily Settlement Price for each Contract is defined as:
St = 100 + At + Bt - Ct
St = Settlement price at time t
At = Net Present Value (“NPV”) of the future cash flows at time t, based on OIS discounting
Bt = Value of historical fixed and floating amounts from the first trade date
Ct = Price Alignment Interest (PAI††)
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Euro Short Term Rate (€STR) rate to the Contract’s NPV, using the day count convention specified above for the Floating Price Leg. PAI†† will start accruing on the first trade date	ICE Futures Europe Eris EUR Interest Rate Futures are priced on a basis of 100, similar to market practice for bonds and other futures contracts
The Daily Settlement Price for each Contract is defined as:
St = 100 + At + Bt - Ct
St = Settlement price at time t
At = Net Present Value (“NPV”) of the future cash flows at time t, based on OIS discounting
Bt = Value of historical fixed and floating amounts from the first trade date
Ct = Price Alignment Interest (PAI††)
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Euro Short Term Rate (€STR) rate to the Contract’s NPV, using the day count convention specified above for the Floating Price Leg. PAI†† will start accruing on the first trade date
Final Settlement Price Quotation 	Sfinal = 100 + Bfinal – Cfinal
Sfinal = Settlement price on the Maturity Date
Bfinal = Historical fixed and floating amounts starting from the first trade date through the Maturity Date
Cfinal = PAI††, on the Maturity Date
IFEU calculates Final Settlement Price to 4 decimals of precision (e.g. 100.1234)	Sfinal = 100 + Bfinal – Cfinal
Sfinal = Settlement price on the Maturity Date
Bfinal = Historical fixed and floating amounts starting from the first trade date through the Maturity Date
Cfinal = PAI††, on the Maturity Date
IFEU calculates Final Settlement Price to 4 decimals of precision (e.g. 100.1234)	Sfinal = 100 + Bfinal – Cfinal
Sfinal = Settlement price on the Maturity Date
Bfinal = Historical fixed and floating amounts starting from the first trade date through the Maturity Date
Cfinal = PAI††, on the Maturity Date
IFEU calculates Final Settlement Price to 4 decimals of precision (e.g. 100.1234)
Quotation 	• 0.001 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is less than 2 years
• 0.002 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 2 years and less than 4 years
• 0.005 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 4 years and less than 7 years
• 0.010 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 7 years and less than 20 years
• 0.020 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 20 years	• 0.001 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is less than 2 years
• 0.002 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 2 years and less than 4 years
• 0.005 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 4 years and less than 7 years
• 0.010 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 7 years and less than 20 years
• 0.020 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 20 years	• 0.001 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is less than 2 years
• 0.002 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 2 years and less than 4 years
• 0.005 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 4 years and less than 7 years
• 0.010 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 7 years and less than 20 years
• 0.020 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 20 years
Block Trade Minimum 	550 lots for Contracts with Remaining Tenor up to and including 4 years,
350 lots for Contracts with Remaining Tenor greater than 4 years and up to and including 9 years
250 lots for Contracts with Remaining Tenor greater than 9 years and up to and including 12 years
50 lots for Contracts with Remaining Tenor greater than 12 years	550 lots for Contracts with Remaining Tenor up to and including 4 years,
350 lots for Contracts with Remaining Tenor greater than 4 years and up to and including 9 years
250 lots for Contracts with Remaining Tenor greater than 9 years and up to and including 12 years
50 lots for Contracts with Remaining Tenor greater than 12 years	550 lots for Contracts with Remaining Tenor up to and including 4 years,
350 lots for Contracts with Remaining Tenor greater than 4 years and up to and including 9 years
250 lots for Contracts with Remaining Tenor greater than 9 years and up to and including 12 years
50 lots for Contracts with Remaining Tenor greater than 12 years
Trading Methods 	ICE Futures Europe Eris Standard EUR Interest Rate Futures are allowed to be traded as Basis Trades. Basis Trades must be executed and reported pursuant to IFEU Rules under Section F.5.C in the IFEU Rulebook and Trading Procedure 16A	ICE Futures Europe Eris Standard EUR Interest Rate Futures are allowed to be traded as Basis Trades. Basis Trades must be executed and reported pursuant to IFEU Rules under Section F.5.C in the IFEU Rulebook and Trading Procedure 16A	ICE Futures Europe Eris Standard EUR Interest Rate Futures are allowed to be traded as Basis Trades. Basis Trades must be executed and reported pursuant to IFEU Rules under Section F.5.C in the IFEU Rulebook and Trading Procedure 16A
Other Information 	†As defined by ISDA
††As calculated using the Eris Futures Exchange pricing methodology, known as the Eris Methodology™ 	†As defined by ISDA
††As calculated using the Eris Futures Exchange pricing methodology, known as the Eris Methodology™ 	†As defined by ISDA
††As calculated using the Eris Futures Exchange pricing methodology, known as the Eris Methodology™
MIC Code 	IFLL 	IFLL 	IFLL
Clearing Venues 	ICEU 	ICEU 	ICEU
Trading Hours 	CITY 	TRADING 	PRE-OPEN
Trading Hours 	NEW YORK 	2:00 AM - 1:00 PM
02:00 - 13:00 	1:03 AM
01:03
Trading Hours 	LONDON 	7:00 AM - 6:00 PM
07:00 - 18:00 	6:03 AM
06:03
Trading Hours 	SINGAPORE 	2:00 PM - 1:00 AM
14:00 - 01:00 	1:03 PM
13:03
Codes 	Clearing Admin Name 	IR Future EUR 	IR Future EUR
Codes 	Physical 	2J 	2J
Codes 	Logical 	2J 	2J
Codes 	GMI (FC) 	None 	None
Codes 	ION A.C.N. 	None 	None
Eris EURIBOR 7YR IMM 6M Interest Rate Future	Eris EURIBOR 7YR IMM 6M Interest Rate Future 	Eris EURIBOR 7YR IMM 6M Interest Rate Future 	Eris EURIBOR 7YR IMM 6M Interest Rate Future
Trading Screen Product Name 	Eris EURIBOR 7YR IMM 6M Interest Rate Future (-0.50%) 	Eris EURIBOR 7YR IMM 6M Interest Rate Future (-0.50%) 	Eris EURIBOR 7YR IMM 6M Interest Rate Future (-0.50%)
Trading Screen Hub Name 	ICEU 	ICEU 	ICEU
Underlying Tenor 	The duration of time from the Effective Date to the Cash Flow Alignment Date (CFAD).
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 years vs 3-month or 6-month EURIBOR®, and 30 years vs 6-month EURIBOR®. 	The duration of time from the Effective Date to the Cash Flow Alignment Date (CFAD).
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 years vs 3-month or 6-month EURIBOR®, and 30 years vs 6-month EURIBOR®. 	The duration of time from the Effective Date to the Cash Flow Alignment Date (CFAD).
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 years vs 3-month or 6-month EURIBOR®, and 30 years vs 6-month EURIBOR®.
Fixed Rate 	Fixed Rate will be set in 25 basis point increments and determined prior to Contract listing 	Fixed Rate will be set in 25 basis point increments and determined prior to Contract listing 	Fixed Rate will be set in 25 basis point increments and determined prior to Contract listing
Contract Symbol 	Determined by Exchange Logical Code and Fixed Rate
Contract Logical Code list by Tenor
6-month, IMM: 2F - 2O (1 year - 10 year)
6-month, IMM: 2S (30 year)
3-month, IMM: 3F - 3O (1 year - 10 year) 	Determined by Exchange Logical Code and Fixed Rate
Contract Logical Code list by Tenor
6-month, IMM: 2F - 2O (1 year - 10 year)
6-month, IMM: 2S (30 year)
3-month, IMM: 3F - 3O (1 year - 10 year) 	Determined by Exchange Logical Code and Fixed Rate
Contract Logical Code list by Tenor
6-month, IMM: 2F - 2O (1 year - 10 year)
6-month, IMM: 2S (30 year)
3-month, IMM: 3F - 3O (1 year - 10 year)
Contract Size 	1 Contract = 1 lot = €100,000 face value 	1 Contract = 1 lot = €100,000 face value 	1 Contract = 1 lot = €100,000 face value
Trading Conventions 	Buy = Receive Fixed
Sell = Pay Fixed 	Buy = Receive Fixed
Sell = Pay Fixed 	Buy = Receive Fixed
Sell = Pay Fixed
Futures Conventions 	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: 30/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Floating Leg
• Reset Frequency: Semi-Annual or Quarterly
• Day Count Convention: Actual/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: 30/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Floating Leg
• Reset Frequency: Semi-Annual or Quarterly
• Day Count Convention: Actual/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: 30/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Floating Leg
• Reset Frequency: Semi-Annual or Quarterly
• Day Count Convention: Actual/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Effective Date 	Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16 2022” or “Mar 22”) 	Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16 2022” or “Mar 22”) 	Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16 2022” or “Mar 22”)
Maturity Date 	Cash Flow Alignment Date (“CFAD”) is The Maturity Date
The final date to which fixed and floating amounts accrue. The last date of the contract. The Maturity Date is determined by applying the Underlying Tenor to the Effective Date and selecting the nearest Modified Following† 3rd Wednesday of the month.
The Maturity Date may also be referred to as the Termination Date†	Cash Flow Alignment Date (“CFAD”) is The Maturity Date
The final date to which fixed and floating amounts accrue. The last date of the contract. The Maturity Date is determined by applying the Underlying Tenor to the Effective Date and selecting the nearest Modified Following† 3rd Wednesday of the month.
The Maturity Date may also be referred to as the Termination Date†	Cash Flow Alignment Date (“CFAD”) is The Maturity Date
The final date to which fixed and floating amounts accrue. The last date of the contract. The Maturity Date is determined by applying the Underlying Tenor to the Effective Date and selecting the nearest Modified Following† 3rd Wednesday of the month.
The Maturity Date may also be referred to as the Termination Date†
Remaining Tenor 	The duration of time from today to the Maturity Date 	The duration of time from today to the Maturity Date 	The duration of time from today to the Maturity Date
Reset Dates 	The Effective Date and each Notional Floating Payment Date other than the Maturity Date 	The Effective Date and each Notional Floating Payment Date other than the Maturity Date 	The Effective Date and each Notional Floating Payment Date other than the Maturity Date
Last Trading Day 	The last day on which the Contract can be traded is the Holiday Calendar business day preceding the Maturity Date. On the Last Trading Day trading will cease at 6:00 PM London Time 	The last day on which the Contract can be traded is the Holiday Calendar business day preceding the Maturity Date. On the Last Trading Day trading will cease at 6:00 PM London Time 	The last day on which the Contract can be traded is the Holiday Calendar business day preceding the Maturity Date. On the Last Trading Day trading will cease at 6:00 PM London Time
Fixing Dates 	Two business days prior to the IMM Date, quarterly or semiannually, after the effective date. 	Two business days prior to the IMM Date, quarterly or semiannually, after the effective date. 	Two business days prior to the IMM Date, quarterly or semiannually, after the effective date.
Floating Rate Index 	3 month or 6-month EURIBOR administered by the European Money Markets Institute (EMMI) 	3 month or 6-month EURIBOR administered by the European Money Markets Institute (EMMI) 	3 month or 6-month EURIBOR administered by the European Money Markets Institute (EMMI)
Daily Settlement Price Quotation 	ICE Futures Europe Eris EUR Interest Rate Futures are priced on a basis of 100, similar to market practice for bonds and other futures contracts
The Daily Settlement Price for each Contract is defined as:
St = 100 + At + Bt - Ct
St = Settlement price at time t
At = Net Present Value (“NPV”) of the future cash flows at time t, based on OIS discounting
Bt = Value of historical fixed and floating amounts from the first trade date
Ct = Price Alignment Interest (PAI††)
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Euro Short Term Rate (€STR) rate to the Contract’s NPV, using the day count convention specified above for the Floating Price Leg. PAI†† will start accruing on the first trade date	ICE Futures Europe Eris EUR Interest Rate Futures are priced on a basis of 100, similar to market practice for bonds and other futures contracts
The Daily Settlement Price for each Contract is defined as:
St = 100 + At + Bt - Ct
St = Settlement price at time t
At = Net Present Value (“NPV”) of the future cash flows at time t, based on OIS discounting
Bt = Value of historical fixed and floating amounts from the first trade date
Ct = Price Alignment Interest (PAI††)
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Euro Short Term Rate (€STR) rate to the Contract’s NPV, using the day count convention specified above for the Floating Price Leg. PAI†† will start accruing on the first trade date	ICE Futures Europe Eris EUR Interest Rate Futures are priced on a basis of 100, similar to market practice for bonds and other futures contracts
The Daily Settlement Price for each Contract is defined as:
St = 100 + At + Bt - Ct
St = Settlement price at time t
At = Net Present Value (“NPV”) of the future cash flows at time t, based on OIS discounting
Bt = Value of historical fixed and floating amounts from the first trade date
Ct = Price Alignment Interest (PAI††)
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Euro Short Term Rate (€STR) rate to the Contract’s NPV, using the day count convention specified above for the Floating Price Leg. PAI†† will start accruing on the first trade date
Final Settlement Price Quotation 	Sfinal = 100 + Bfinal – Cfinal
Sfinal = Settlement price on the Maturity Date
Bfinal = Historical fixed and floating amounts starting from the first trade date through the Maturity Date
Cfinal = PAI††, on the Maturity Date
IFEU calculates Final Settlement Price to 4 decimals of precision (e.g. 100.1234)	Sfinal = 100 + Bfinal – Cfinal
Sfinal = Settlement price on the Maturity Date
Bfinal = Historical fixed and floating amounts starting from the first trade date through the Maturity Date
Cfinal = PAI††, on the Maturity Date
IFEU calculates Final Settlement Price to 4 decimals of precision (e.g. 100.1234)	Sfinal = 100 + Bfinal – Cfinal
Sfinal = Settlement price on the Maturity Date
Bfinal = Historical fixed and floating amounts starting from the first trade date through the Maturity Date
Cfinal = PAI††, on the Maturity Date
IFEU calculates Final Settlement Price to 4 decimals of precision (e.g. 100.1234)
Quotation 	• 0.001 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is less than 2 years
• 0.002 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 2 years and less than 4 years
• 0.005 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 4 years and less than 7 years
• 0.010 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 7 years and less than 20 years
• 0.020 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 20 years	• 0.001 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is less than 2 years
• 0.002 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 2 years and less than 4 years
• 0.005 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 4 years and less than 7 years
• 0.010 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 7 years and less than 20 years
• 0.020 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 20 years	• 0.001 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is less than 2 years
• 0.002 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 2 years and less than 4 years
• 0.005 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 4 years and less than 7 years
• 0.010 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 7 years and less than 20 years
• 0.020 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 20 years
Block Trade Minimum 	550 lots for Contracts with Remaining Tenor up to and including 4 years,
350 lots for Contracts with Remaining Tenor greater than 4 years and up to and including 9 years
250 lots for Contracts with Remaining Tenor greater than 9 years and up to and including 12 years
50 lots for Contracts with Remaining Tenor greater than 12 years	550 lots for Contracts with Remaining Tenor up to and including 4 years,
350 lots for Contracts with Remaining Tenor greater than 4 years and up to and including 9 years
250 lots for Contracts with Remaining Tenor greater than 9 years and up to and including 12 years
50 lots for Contracts with Remaining Tenor greater than 12 years	550 lots for Contracts with Remaining Tenor up to and including 4 years,
350 lots for Contracts with Remaining Tenor greater than 4 years and up to and including 9 years
250 lots for Contracts with Remaining Tenor greater than 9 years and up to and including 12 years
50 lots for Contracts with Remaining Tenor greater than 12 years
Trading Methods 	ICE Futures Europe Eris Standard EUR Interest Rate Futures are allowed to be traded as Basis Trades. Basis Trades must be executed and reported pursuant to IFEU Rules under Section F.5.C in the IFEU Rulebook and Trading Procedure 16A	ICE Futures Europe Eris Standard EUR Interest Rate Futures are allowed to be traded as Basis Trades. Basis Trades must be executed and reported pursuant to IFEU Rules under Section F.5.C in the IFEU Rulebook and Trading Procedure 16A	ICE Futures Europe Eris Standard EUR Interest Rate Futures are allowed to be traded as Basis Trades. Basis Trades must be executed and reported pursuant to IFEU Rules under Section F.5.C in the IFEU Rulebook and Trading Procedure 16A
Other Information 	†As defined by ISDA
††As calculated using the Eris Futures Exchange pricing methodology, known as the Eris Methodology™ 	†As defined by ISDA
††As calculated using the Eris Futures Exchange pricing methodology, known as the Eris Methodology™ 	†As defined by ISDA
††As calculated using the Eris Futures Exchange pricing methodology, known as the Eris Methodology™
MIC Code 	IFLL 	IFLL 	IFLL
Clearing Venues 	ICEU 	ICEU 	ICEU
Trading Hours 	CITY 	TRADING 	PRE-OPEN
Trading Hours 	NEW YORK 	2:00 AM - 1:00 PM
02:00 - 13:00 	1:03 AM
01:03
Trading Hours 	LONDON 	7:00 AM - 6:00 PM
07:00 - 18:00 	6:03 AM
06:03
Trading Hours 	SINGAPORE 	2:00 PM - 1:00 AM
14:00 - 01:00 	1:03 PM
13:03
Codes 	Clearing Admin Name 	IR Future EUR 	IR Future EUR
Codes 	Physical 	2L 	2L
Codes 	Logical 	2L 	2L
Codes 	GMI (FC) 	None 	None
Codes 	ION A.C.N. 	None 	None
Eris EURIBOR 10YR IMM 6M Interest Rate Future	Eris EURIBOR 10YR IMM 6M Interest Rate Future 	Eris EURIBOR 10YR IMM 6M Interest Rate Future 	Eris EURIBOR 10YR IMM 6M Interest Rate Future
Trading Screen Product Name 	Eris EURIBOR 10YR IMM 6M Interest Rate Future (-0.25%) 	Eris EURIBOR 10YR IMM 6M Interest Rate Future (-0.25%) 	Eris EURIBOR 10YR IMM 6M Interest Rate Future (-0.25%)
Trading Screen Hub Name 	ICEU 	ICEU 	ICEU
Underlying Tenor 	The duration of time from the Effective Date to the Cash Flow Alignment Date (CFAD).
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 years vs 3-month or 6-month EURIBOR®, and 30 years vs 6-month EURIBOR®. 	The duration of time from the Effective Date to the Cash Flow Alignment Date (CFAD).
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 years vs 3-month or 6-month EURIBOR®, and 30 years vs 6-month EURIBOR®. 	The duration of time from the Effective Date to the Cash Flow Alignment Date (CFAD).
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 years vs 3-month or 6-month EURIBOR®, and 30 years vs 6-month EURIBOR®.
Fixed Rate 	Fixed Rate will be set in 25 basis point increments and determined prior to Contract listing 	Fixed Rate will be set in 25 basis point increments and determined prior to Contract listing 	Fixed Rate will be set in 25 basis point increments and determined prior to Contract listing
Contract Symbol 	Determined by Exchange Logical Code and Fixed Rate
Contract Logical Code list by Tenor
6-month, IMM: 2F - 2O (1 year - 10 year)
6-month, IMM: 2S (30 year)
3-month, IMM: 3F - 3O (1 year - 10 year) 	Determined by Exchange Logical Code and Fixed Rate
Contract Logical Code list by Tenor
6-month, IMM: 2F - 2O (1 year - 10 year)
6-month, IMM: 2S (30 year)
3-month, IMM: 3F - 3O (1 year - 10 year) 	Determined by Exchange Logical Code and Fixed Rate
Contract Logical Code list by Tenor
6-month, IMM: 2F - 2O (1 year - 10 year)
6-month, IMM: 2S (30 year)
3-month, IMM: 3F - 3O (1 year - 10 year)
Contract Size 	1 Contract = 1 lot = €100,000 face value 	1 Contract = 1 lot = €100,000 face value 	1 Contract = 1 lot = €100,000 face value
Trading Conventions 	Buy = Receive Fixed
Sell = Pay Fixed 	Buy = Receive Fixed
Sell = Pay Fixed 	Buy = Receive Fixed
Sell = Pay Fixed
Futures Conventions 	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: 30/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Floating Leg
• Reset Frequency: Semi-Annual or Quarterly
• Day Count Convention: Actual/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: 30/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Floating Leg
• Reset Frequency: Semi-Annual or Quarterly
• Day Count Convention: Actual/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: 30/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Floating Leg
• Reset Frequency: Semi-Annual or Quarterly
• Day Count Convention: Actual/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Effective Date 	Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16 2022” or “Mar 22”) 	Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16 2022” or “Mar 22”) 	Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16 2022” or “Mar 22”)
Maturity Date 	Cash Flow Alignment Date (“CFAD”) is The Maturity Date
The final date to which fixed and floating amounts accrue. The last date of the contract. The Maturity Date is determined by applying the Underlying Tenor to the Effective Date and selecting the nearest Modified Following† 3rd Wednesday of the month.
The Maturity Date may also be referred to as the Termination Date†	Cash Flow Alignment Date (“CFAD”) is The Maturity Date
The final date to which fixed and floating amounts accrue. The last date of the contract. The Maturity Date is determined by applying the Underlying Tenor to the Effective Date and selecting the nearest Modified Following† 3rd Wednesday of the month.
The Maturity Date may also be referred to as the Termination Date†	Cash Flow Alignment Date (“CFAD”) is The Maturity Date
The final date to which fixed and floating amounts accrue. The last date of the contract. The Maturity Date is determined by applying the Underlying Tenor to the Effective Date and selecting the nearest Modified Following† 3rd Wednesday of the month.
The Maturity Date may also be referred to as the Termination Date†
Remaining Tenor 	The duration of time from today to the Maturity Date 	The duration of time from today to the Maturity Date 	The duration of time from today to the Maturity Date
Reset Dates 	The Effective Date and each Notional Floating Payment Date other than the Maturity Date 	The Effective Date and each Notional Floating Payment Date other than the Maturity Date 	The Effective Date and each Notional Floating Payment Date other than the Maturity Date
Last Trading Day 	The last day on which the Contract can be traded is the Holiday Calendar business day preceding the Maturity Date. On the Last Trading Day trading will cease at 6:00 PM London Time 	The last day on which the Contract can be traded is the Holiday Calendar business day preceding the Maturity Date. On the Last Trading Day trading will cease at 6:00 PM London Time 	The last day on which the Contract can be traded is the Holiday Calendar business day preceding the Maturity Date. On the Last Trading Day trading will cease at 6:00 PM London Time
Fixing Dates 	Two business days prior to the IMM Date, quarterly or semiannually, after the effective date. 	Two business days prior to the IMM Date, quarterly or semiannually, after the effective date. 	Two business days prior to the IMM Date, quarterly or semiannually, after the effective date.
Floating Rate Index 	3 month or 6-month EURIBOR administered by the European Money Markets Institute (EMMI) 	3 month or 6-month EURIBOR administered by the European Money Markets Institute (EMMI) 	3 month or 6-month EURIBOR administered by the European Money Markets Institute (EMMI)
Daily Settlement Price Quotation 	ICE Futures Europe Eris EUR Interest Rate Futures are priced on a basis of 100, similar to market practice for bonds and other futures contracts
The Daily Settlement Price for each Contract is defined as:
St = 100 + At + Bt - Ct
St = Settlement price at time t
At = Net Present Value (“NPV”) of the future cash flows at time t, based on OIS discounting
Bt = Value of historical fixed and floating amounts from the first trade date
Ct = Price Alignment Interest (PAI††)
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Euro Short Term Rate (€STR) rate to the Contract’s NPV, using the day count convention specified above for the Floating Price Leg. PAI†† will start accruing on the first trade date	ICE Futures Europe Eris EUR Interest Rate Futures are priced on a basis of 100, similar to market practice for bonds and other futures contracts
The Daily Settlement Price for each Contract is defined as:
St = 100 + At + Bt - Ct
St = Settlement price at time t
At = Net Present Value (“NPV”) of the future cash flows at time t, based on OIS discounting
Bt = Value of historical fixed and floating amounts from the first trade date
Ct = Price Alignment Interest (PAI††)
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Euro Short Term Rate (€STR) rate to the Contract’s NPV, using the day count convention specified above for the Floating Price Leg. PAI†† will start accruing on the first trade date	ICE Futures Europe Eris EUR Interest Rate Futures are priced on a basis of 100, similar to market practice for bonds and other futures contracts
The Daily Settlement Price for each Contract is defined as:
St = 100 + At + Bt - Ct
St = Settlement price at time t
At = Net Present Value (“NPV”) of the future cash flows at time t, based on OIS discounting
Bt = Value of historical fixed and floating amounts from the first trade date
Ct = Price Alignment Interest (PAI††)
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Euro Short Term Rate (€STR) rate to the Contract’s NPV, using the day count convention specified above for the Floating Price Leg. PAI†† will start accruing on the first trade date
Final Settlement Price Quotation 	Sfinal = 100 + Bfinal – Cfinal
Sfinal = Settlement price on the Maturity Date
Bfinal = Historical fixed and floating amounts starting from the first trade date through the Maturity Date
Cfinal = PAI††, on the Maturity Date
IFEU calculates Final Settlement Price to 4 decimals of precision (e.g. 100.1234)	Sfinal = 100 + Bfinal – Cfinal
Sfinal = Settlement price on the Maturity Date
Bfinal = Historical fixed and floating amounts starting from the first trade date through the Maturity Date
Cfinal = PAI††, on the Maturity Date
IFEU calculates Final Settlement Price to 4 decimals of precision (e.g. 100.1234)	Sfinal = 100 + Bfinal – Cfinal
Sfinal = Settlement price on the Maturity Date
Bfinal = Historical fixed and floating amounts starting from the first trade date through the Maturity Date
Cfinal = PAI††, on the Maturity Date
IFEU calculates Final Settlement Price to 4 decimals of precision (e.g. 100.1234)
Quotation 	• 0.001 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is less than 2 years
• 0.002 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 2 years and less than 4 years
• 0.005 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 4 years and less than 7 years
• 0.010 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 7 years and less than 20 years
• 0.020 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 20 years	• 0.001 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is less than 2 years
• 0.002 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 2 years and less than 4 years
• 0.005 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 4 years and less than 7 years
• 0.010 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 7 years and less than 20 years
• 0.020 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 20 years	• 0.001 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is less than 2 years
• 0.002 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 2 years and less than 4 years
• 0.005 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 4 years and less than 7 years
• 0.010 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 7 years and less than 20 years
• 0.020 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 20 years
Block Trade Minimum 	550 lots for Contracts with Remaining Tenor up to and including 4 years,
350 lots for Contracts with Remaining Tenor greater than 4 years and up to and including 9 years
250 lots for Contracts with Remaining Tenor greater than 9 years and up to and including 12 years
50 lots for Contracts with Remaining Tenor greater than 12 years	550 lots for Contracts with Remaining Tenor up to and including 4 years,
350 lots for Contracts with Remaining Tenor greater than 4 years and up to and including 9 years
250 lots for Contracts with Remaining Tenor greater than 9 years and up to and including 12 years
50 lots for Contracts with Remaining Tenor greater than 12 years	550 lots for Contracts with Remaining Tenor up to and including 4 years,
350 lots for Contracts with Remaining Tenor greater than 4 years and up to and including 9 years
250 lots for Contracts with Remaining Tenor greater than 9 years and up to and including 12 years
50 lots for Contracts with Remaining Tenor greater than 12 years
Trading Methods 	ICE Futures Europe Eris Standard EUR Interest Rate Futures are allowed to be traded as Basis Trades. Basis Trades must be executed and reported pursuant to IFEU Rules under Section F.5.C in the IFEU Rulebook and Trading Procedure 16A	ICE Futures Europe Eris Standard EUR Interest Rate Futures are allowed to be traded as Basis Trades. Basis Trades must be executed and reported pursuant to IFEU Rules under Section F.5.C in the IFEU Rulebook and Trading Procedure 16A	ICE Futures Europe Eris Standard EUR Interest Rate Futures are allowed to be traded as Basis Trades. Basis Trades must be executed and reported pursuant to IFEU Rules under Section F.5.C in the IFEU Rulebook and Trading Procedure 16A
Other Information 	†As defined by ISDA
††As calculated using the Eris Futures Exchange pricing methodology, known as the Eris Methodology™ 	†As defined by ISDA
††As calculated using the Eris Futures Exchange pricing methodology, known as the Eris Methodology™ 	†As defined by ISDA
††As calculated using the Eris Futures Exchange pricing methodology, known as the Eris Methodology™
MIC Code 	IFLL 	IFLL 	IFLL
Clearing Venues 	ICEU 	ICEU 	ICEU
Trading Hours 	CITY 	TRADING 	PRE-OPEN
Trading Hours 	NEW YORK 	2:00 AM - 1:00 PM
02:00 - 13:00 	1:03 AM
01:03
Trading Hours 	LONDON 	7:00 AM - 6:00 PM
07:00 - 18:00 	6:03 AM
06:03
Trading Hours 	SINGAPORE 	2:00 PM - 1:00 AM
14:00 - 01:00 	1:03 PM
13:03
Codes 	Clearing Admin Name 	IR Future EUR 	IR Future EUR
Codes 	Physical 	2O 	2O
Codes 	Logical 	2O 	2O
Codes 	GMI (FC) 	None 	None
Codes 	ION A.C.N. 	None 	None
Eris EURIBOR 30YR IMM 6M Interest Rate Future	Eris EURIBOR 30YR IMM 6M Interest Rate Future 	Eris EURIBOR 30YR IMM 6M Interest Rate Future 	Eris EURIBOR 30YR IMM 6M Interest Rate Future
Trading Screen Product Name 	Eris EURIBOR 30YR IMM 6M Interest Rate Future (0.00%) 	Eris EURIBOR 30YR IMM 6M Interest Rate Future (0.00%) 	Eris EURIBOR 30YR IMM 6M Interest Rate Future (0.00%)
Trading Screen Hub Name 	ICEU 	ICEU 	ICEU
Underlying Tenor 	The duration of time from the Effective Date to the Cash Flow Alignment Date (CFAD).
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 years vs 3-month or 6-month EURIBOR®, and 30 years vs 6-month EURIBOR®. 	The duration of time from the Effective Date to the Cash Flow Alignment Date (CFAD).
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 years vs 3-month or 6-month EURIBOR®, and 30 years vs 6-month EURIBOR®. 	The duration of time from the Effective Date to the Cash Flow Alignment Date (CFAD).
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 years vs 3-month or 6-month EURIBOR®, and 30 years vs 6-month EURIBOR®.
Fixed Rate 	Fixed Rate will be set in 25 basis point increments and determined prior to Contract listing 	Fixed Rate will be set in 25 basis point increments and determined prior to Contract listing 	Fixed Rate will be set in 25 basis point increments and determined prior to Contract listing
Contract Symbol 	Determined by Exchange Logical Code and Fixed Rate
Contract Logical Code list by Tenor
6-month, IMM: 2F - 2O (1 year - 10 year)
6-month, IMM: 2S (30 year)
3-month, IMM: 3F - 3O (1 year - 10 year) 	Determined by Exchange Logical Code and Fixed Rate
Contract Logical Code list by Tenor
6-month, IMM: 2F - 2O (1 year - 10 year)
6-month, IMM: 2S (30 year)
3-month, IMM: 3F - 3O (1 year - 10 year) 	Determined by Exchange Logical Code and Fixed Rate
Contract Logical Code list by Tenor
6-month, IMM: 2F - 2O (1 year - 10 year)
6-month, IMM: 2S (30 year)
3-month, IMM: 3F - 3O (1 year - 10 year)
Contract Size 	1 Contract = 1 lot = €100,000 face value 	1 Contract = 1 lot = €100,000 face value 	1 Contract = 1 lot = €100,000 face value
Trading Conventions 	Buy = Receive Fixed
Sell = Pay Fixed 	Buy = Receive Fixed
Sell = Pay Fixed 	Buy = Receive Fixed
Sell = Pay Fixed
Futures Conventions 	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: 30/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Floating Leg
• Reset Frequency: Semi-Annual or Quarterly
• Day Count Convention: Actual/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: 30/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Floating Leg
• Reset Frequency: Semi-Annual or Quarterly
• Day Count Convention: Actual/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: 30/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Floating Leg
• Reset Frequency: Semi-Annual or Quarterly
• Day Count Convention: Actual/360
• Currency: EUR
• Holiday Calendar: TARGET
• Roll Methodology: IMM
• Business Day Convention: Modified Following† with adjustments to Period End Dates†
Effective Date 	Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16 2022” or “Mar 22”) 	Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16 2022” or “Mar 22”) 	Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16 2022” or “Mar 22”)
Maturity Date 	Cash Flow Alignment Date (“CFAD”) is The Maturity Date
The final date to which fixed and floating amounts accrue. The last date of the contract. The Maturity Date is determined by applying the Underlying Tenor to the Effective Date and selecting the nearest Modified Following† 3rd Wednesday of the month.
The Maturity Date may also be referred to as the Termination Date†	Cash Flow Alignment Date (“CFAD”) is The Maturity Date
The final date to which fixed and floating amounts accrue. The last date of the contract. The Maturity Date is determined by applying the Underlying Tenor to the Effective Date and selecting the nearest Modified Following† 3rd Wednesday of the month.
The Maturity Date may also be referred to as the Termination Date†	Cash Flow Alignment Date (“CFAD”) is The Maturity Date
The final date to which fixed and floating amounts accrue. The last date of the contract. The Maturity Date is determined by applying the Underlying Tenor to the Effective Date and selecting the nearest Modified Following† 3rd Wednesday of the month.
The Maturity Date may also be referred to as the Termination Date†
Remaining Tenor 	The duration of time from today to the Maturity Date 	The duration of time from today to the Maturity Date 	The duration of time from today to the Maturity Date
Reset Dates 	The Effective Date and each Notional Floating Payment Date other than the Maturity Date 	The Effective Date and each Notional Floating Payment Date other than the Maturity Date 	The Effective Date and each Notional Floating Payment Date other than the Maturity Date
Last Trading Day 	The last day on which the Contract can be traded is the Holiday Calendar business day preceding the Maturity Date. On the Last Trading Day trading will cease at 6:00 PM London Time 	The last day on which the Contract can be traded is the Holiday Calendar business day preceding the Maturity Date. On the Last Trading Day trading will cease at 6:00 PM London Time 	The last day on which the Contract can be traded is the Holiday Calendar business day preceding the Maturity Date. On the Last Trading Day trading will cease at 6:00 PM London Time
Fixing Dates 	Two business days prior to the IMM Date, quarterly or semiannually, after the effective date. 	Two business days prior to the IMM Date, quarterly or semiannually, after the effective date. 	Two business days prior to the IMM Date, quarterly or semiannually, after the effective date.
Floating Rate Index 	3 month or 6-month EURIBOR administered by the European Money Markets Institute (EMMI) 	3 month or 6-month EURIBOR administered by the European Money Markets Institute (EMMI) 	3 month or 6-month EURIBOR administered by the European Money Markets Institute (EMMI)
Daily Settlement Price Quotation 	ICE Futures Europe Eris EUR Interest Rate Futures are priced on a basis of 100, similar to market practice for bonds and other futures contracts
The Daily Settlement Price for each Contract is defined as:
St = 100 + At + Bt - Ct
St = Settlement price at time t
At = Net Present Value (“NPV”) of the future cash flows at time t, based on OIS discounting
Bt = Value of historical fixed and floating amounts from the first trade date
Ct = Price Alignment Interest (PAI††)
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Euro Short Term Rate (€STR) rate to the Contract’s NPV, using the day count convention specified above for the Floating Price Leg. PAI†† will start accruing on the first trade date value calculated daily by applying the Euro Short Term Rate (€STR) rate to the Contract’s NPV, using the day count convention specified above for the Floating Price Leg. PAI†† will start accruing on the first trade date	ICE Futures Europe Eris EUR Interest Rate Futures are priced on a basis of 100, similar to market practice for bonds and other futures contracts
The Daily Settlement Price for each Contract is defined as:
St = 100 + At + Bt - Ct
St = Settlement price at time t
At = Net Present Value (“NPV”) of the future cash flows at time t, based on OIS discounting
Bt = Value of historical fixed and floating amounts from the first trade date
Ct = Price Alignment Interest (PAI††)
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Euro Short Term Rate (€STR) rate to the Contract’s NPV, using the day count convention specified above for the Floating Price Leg. PAI†† will start accruing on the first trade date value calculated daily by applying the Euro Short Term Rate (€STR) rate to the Contract’s NPV, using the day count convention specified above for the Floating Price Leg. PAI†† will start accruing on the first trade date	ICE Futures Europe Eris EUR Interest Rate Futures are priced on a basis of 100, similar to market practice for bonds and other futures contracts
The Daily Settlement Price for each Contract is defined as:
St = 100 + At + Bt - Ct
St = Settlement price at time t
At = Net Present Value (“NPV”) of the future cash flows at time t, based on OIS discounting
Bt = Value of historical fixed and floating amounts from the first trade date
Ct = Price Alignment Interest (PAI††)
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Euro Short Term Rate (€STR) rate to the Contract’s NPV, using the day count convention specified above for the Floating Price Leg. PAI†† will start accruing on the first trade date value calculated daily by applying the Euro Short Term Rate (€STR) rate to the Contract’s NPV, using the day count convention specified above for the Floating Price Leg. PAI†† will start accruing on the first trade date
Final Settlement Price Quotation 	Sfinal = 100 + Bfinal – Cfinal
Sfinal = Settlement price on the Maturity Date
Bfinal = Historical fixed and floating amounts starting from the first trade date through the Maturity Date
Cfinal = PAI††, on the Maturity Date
IFEU calculates Final Settlement Price to 4 decimals of precision (e.g. 100.1234)	Sfinal = 100 + Bfinal – Cfinal
Sfinal = Settlement price on the Maturity Date
Bfinal = Historical fixed and floating amounts starting from the first trade date through the Maturity Date
Cfinal = PAI††, on the Maturity Date
IFEU calculates Final Settlement Price to 4 decimals of precision (e.g. 100.1234)	Sfinal = 100 + Bfinal – Cfinal
Sfinal = Settlement price on the Maturity Date
Bfinal = Historical fixed and floating amounts starting from the first trade date through the Maturity Date
Cfinal = PAI††, on the Maturity Date
IFEU calculates Final Settlement Price to 4 decimals of precision (e.g. 100.1234)
Quotation 	• 0.001 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is less than 2 years
• 0.002 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 2 years and less than 4 years
• 0.005 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 4 years and less than 7 years
• 0.010 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 7 years and less than 20 years
• 0.020 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 20 years	• 0.001 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is less than 2 years
• 0.002 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 2 years and less than 4 years
• 0.005 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 4 years and less than 7 years
• 0.010 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 7 years and less than 20 years
• 0.020 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 20 years	• 0.001 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is less than 2 years
• 0.002 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 2 years and less than 4 years
• 0.005 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 4 years and less than 7 years
• 0.010 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 7 years and less than 20 years
• 0.020 for Contracts where the lesser of Remaining Tenor/Underlying Tenor is greater than or equal to 20 years
Block Trade Minimum 	550 lots for Contracts with Remaining Tenor up to and including 4 years,
350 lots for Contracts with Remaining Tenor greater than 4 years and up to and including 9 years
250 lots for Contracts with Remaining Tenor greater than 9 years and up to and including 12 years
50 lots for Contracts with Remaining Tenor greater than 12 years	550 lots for Contracts with Remaining Tenor up to and including 4 years,
350 lots for Contracts with Remaining Tenor greater than 4 years and up to and including 9 years
250 lots for Contracts with Remaining Tenor greater than 9 years and up to and including 12 years
50 lots for Contracts with Remaining Tenor greater than 12 years	550 lots for Contracts with Remaining Tenor up to and including 4 years,
350 lots for Contracts with Remaining Tenor greater than 4 years and up to and including 9 years
250 lots for Contracts with Remaining Tenor greater than 9 years and up to and including 12 years
50 lots for Contracts with Remaining Tenor greater than 12 years
Trading Methods 	ICE Futures Europe Eris Standard EUR Interest Rate Futures are allowed to be traded as Basis Trades. Basis Trades must be executed and reported pursuant to IFEU Rules under Section F.5.C in the IFEU Rulebook and Trading Procedure 16A	ICE Futures Europe Eris Standard EUR Interest Rate Futures are allowed to be traded as Basis Trades. Basis Trades must be executed and reported pursuant to IFEU Rules under Section F.5.C in the IFEU Rulebook and Trading Procedure 16A	ICE Futures Europe Eris Standard EUR Interest Rate Futures are allowed to be traded as Basis Trades. Basis Trades must be executed and reported pursuant to IFEU Rules under Section F.5.C in the IFEU Rulebook and Trading Procedure 16A
Other Information 	†As defined by ISDA
††As calculated using the Eris Futures Exchange pricing methodology, known as the Eris Methodology™ 	†As defined by ISDA
††As calculated using the Eris Futures Exchange pricing methodology, known as the Eris Methodology™ 	†As defined by ISDA
††As calculated using the Eris Futures Exchange pricing methodology, known as the Eris Methodology™
MIC Code 	IFLL 	IFLL 	IFLL
Clearing Venues 	ICEU 	ICEU 	ICEU
Trading Hours 	CITY 	TRADING 	PRE-OPEN
Trading Hours 	NEW YORK 	2:00 AM - 1:00 PM
02:00 - 13:00 	1:03 AM
01:03
Trading Hours 	LONDON 	7:00 AM - 6:00 PM
07:00 - 18:00 	6:03 AM
06:03
Trading Hours 	SINGAPORE 	2:00 PM - 1:00 AM
14:00 - 01:00 	1:03 PM
13:03
Codes 	Clearing Admin Name 	IR Future EUR 	IR Future EUR
Codes 	Physical 	2S 	2S
Codes 	Logical 	2S 	2S
Codes 	GMI (FC) 	None 	None
Codes 	ION A.C.N. 	None 	None
== Notes ==
== References ==
== Resources ==
Category:Sponsored Pages
Category:Sponsored Pages - ICE
Category:Reserved Pages
Category:Reserved Pages - ICE
Category:Futures Contracts Traded on ICE
Category:Futures Data in Template
Category:Interest Rates