ICE Three Month Saron® Index Futures

The ICE Futures Europe Three Month SARON® Index Futures contracts are designed to offer market participants exposure to the Swiss Average Rate Overnight (SARON), which is a critical benchmark for short-term interest rates in the Swiss financial market. 
The SARON is an overnight interest rates benchmark that reflects the cost of borrowing Swiss francs (CHF) overnight. It is based on actual transactions and quotes in the Swiss money market and is considered a reliable and transparent measure of short-term interest rates in Switzerland. The SARON is administered by the Swiss National Bank (SNB) and is a critical component of the Swiss financial system, serving as a reference rate for various financial instruments, including loans, mortgages, and derivatives.
This futures contract is cash-settled, meaning that no physical delivery of the underlying asset occurs at settlement. Instead, the contract is settled in cash based on the difference between the contract price and the actual SARON rate at the end of the contract period.
== Contract Specs ==
Three Month Saron® Index Futures Contract	Three Month Saron® Index Futures Contract 	Three Month Saron® Index Futures Contract 	Three Month Saron® Index Futures Contract
Trading Screen Product Name 	Three Month SARON 	Three Month SARON 	Three Month SARON
Trading Screen Hub Name 	ICEU 	ICEU 	ICEU
Contract Symbol 	SA3 	SA3 	SA3
Unit of Trading 	CHF 2,500 * Rate Index 	CHF 2,500 * Rate Index 	CHF 2,500 * Rate Index
Minimum Price Fluctuation 	Front delivery month: 0.0025 (CHF 6.25)
All other delivery months: 0.0050 (CHF 12.50) 	Front delivery month: 0.0025 (CHF 6.25)
All other delivery months: 0.0050 (CHF 12.50) 	Front delivery month: 0.0025 (CHF 6.25)
All other delivery months: 0.0050 (CHF 12.50)
Delivery Months 	March, June, September, December, such that 16 delivery months are available for trading.
Contract Delivery Months are named by the start date of the accrual period. 	March, June, September, December, such that 16 delivery months are available for trading.
Contract Delivery Months are named by the start date of the accrual period. 	March, June, September, December, such that 16 delivery months are available for trading.
Contract Delivery Months are named by the start date of the accrual period.
Rate Index 	100.00 minus the numerical value of the rate of interest 	100.00 minus the numerical value of the rate of interest 	100.00 minus the numerical value of the rate of interest
Last Trading Day 	One business day prior to the third Wednesday of the next quarterly Delivery Month. On the Last Trading Day, trading will cease at 17:00 (London Time) 	One business day prior to the third Wednesday of the next quarterly Delivery Month. On the Last Trading Day, trading will cease at 17:00 (London Time) 	One business day prior to the third Wednesday of the next quarterly Delivery Month. On the Last Trading Day, trading will cease at 17:00 (London Time)
Exchange Delivery Settlement Price 	EDSP publication is as soon as reasonably practicable after 17:00 (London time) after the SARON publication on the Last Trading Day
100 minus the numerical value of EDSP Rate, determined as described below.
Based on SARON (Swiss Average Rate Overnight) as calculated by the Benchmark Administrator each business day, the EDSP Rate represents the effective rate of interest achieved by reinvesting at SARON for each day of the accrual period of the contract. The following formula shall be applied:
Click here for formula
where:
S_i = SARON rate on the i^th fixing day of the accrual period
d_i= the number of days that the value S_i is applied
x = the number of SARON fixings used in the accrual period
N = the total number of days for which the x fixings are applied, i.e. the number of calendar days in the accrual period
Where the EDSP Rate is not an exact multiple of 0.00001, it will be rounded to the nearest 0.00001 or, where the EDSP Rate is an exact uneven multiple of 0.000005, to the nearest lower 0.00001.	EDSP publication is as soon as reasonably practicable after 17:00 (London time) after the SARON publication on the Last Trading Day
100 minus the numerical value of EDSP Rate, determined as described below.
Based on SARON (Swiss Average Rate Overnight) as calculated by the Benchmark Administrator each business day, the EDSP Rate represents the effective rate of interest achieved by reinvesting at SARON for each day of the accrual period of the contract. The following formula shall be applied:
Click here for formula
where:
S_i = SARON rate on the i^th fixing day of the accrual period
d_i= the number of days that the value S_i is applied
x = the number of SARON fixings used in the accrual period
N = the total number of days for which the x fixings are applied, i.e. the number of calendar days in the accrual period
Where the EDSP Rate is not an exact multiple of 0.00001, it will be rounded to the nearest 0.00001 or, where the EDSP Rate is an exact uneven multiple of 0.000005, to the nearest lower 0.00001.	EDSP publication is as soon as reasonably practicable after 17:00 (London time) after the SARON publication on the Last Trading Day
100 minus the numerical value of EDSP Rate, determined as described below.
Based on SARON (Swiss Average Rate Overnight) as calculated by the Benchmark Administrator each business day, the EDSP Rate represents the effective rate of interest achieved by reinvesting at SARON for each day of the accrual period of the contract. The following formula shall be applied:
Click here for formula
where:
S_i = SARON rate on the i^th fixing day of the accrual period
d_i= the number of days that the value S_i is applied
x = the number of SARON fixings used in the accrual period
N = the total number of days for which the x fixings are applied, i.e. the number of calendar days in the accrual period
Where the EDSP Rate is not an exact multiple of 0.00001, it will be rounded to the nearest 0.00001 or, where the EDSP Rate is an exact uneven multiple of 0.000005, to the nearest lower 0.00001.
First Accrual Date 	Third Wednesday of the Delivery Month 	Third Wednesday of the Delivery Month 	Third Wednesday of the Delivery Month
Last Accrual Date 	Business day prior to the Third Wednesday of the next quarterly Delivery Month 	Business day prior to the Third Wednesday of the next quarterly Delivery Month 	Business day prior to the Third Wednesday of the next quarterly Delivery Month
Algorithm 	Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm with priority given to the first order at the best price subject to a minimum order size (collar) and limited to a maximum order size (cap). 	Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm with priority given to the first order at the best price subject to a minimum order size (collar) and limited to a maximum order size (cap). 	Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm with priority given to the first order at the best price subject to a minimum order size (collar) and limited to a maximum order size (cap).
NCR, RL and IPL Levels 	NCR: 0.10;
RL: 0.10;
IPL: 0.10, 1 second recalculation and 3 second hold periods.
To access NCR documentation click here. 	NCR: 0.10;
RL: 0.10;
IPL: 0.10, 1 second recalculation and 3 second hold periods.
To access NCR documentation click here. 	NCR: 0.10;
RL: 0.10;
IPL: 0.10, 1 second recalculation and 3 second hold periods.
To access NCR documentation click here.
Trading Hours 	07:30 to 18:00 (London Time) 	07:30 to 18:00 (London Time) 	07:30 to 18:00 (London Time)
Wholesale Service 	Basis trading, Block Trading, Asset Allocation 	Basis trading, Block Trading, Asset Allocation 	Basis trading, Block Trading, Asset Allocation
Clearing 	ICE Clear Europe 	ICE Clear Europe 	ICE Clear Europe
Contract Standard 	Cash settlement based on the Exchange Delivery Settlement Price. 	Cash settlement based on the Exchange Delivery Settlement Price. 	Cash settlement based on the Exchange Delivery Settlement Price.
Statement in relation to EDSP Formation 	The contracts have a standardized basis point value so that, for hedging purposes, a calculation will need to be made in relation to the hedge ratio to take into account any mismatch between the standardized basis point value and the actual basis point value of the position being hedged, determined by the actual number of days in the accrual period.	The contracts have a standardized basis point value so that, for hedging purposes, a calculation will need to be made in relation to the hedge ratio to take into account any mismatch between the standardized basis point value and the actual basis point value of the position being hedged, determined by the actual number of days in the accrual period.	The contracts have a standardized basis point value so that, for hedging purposes, a calculation will need to be made in relation to the hedge ratio to take into account any mismatch between the standardized basis point value and the actual basis point value of the position being hedged, determined by the actual number of days in the accrual period.
About SARON® 	SARON® is a registered trade mark of the SIX Swiss Exchange, Zurich. 	SARON® is a registered trade mark of the SIX Swiss Exchange, Zurich. 	SARON® is a registered trade mark of the SIX Swiss Exchange, Zurich.
MIC Code 	IFLL 	IFLL 	IFLL
Clearing Venues 	ICEU 	ICEU 	ICEU
Trading Hours 	CITY 	TRADING 	PRE-OPEN
Trading Hours 	NEW YORK 	2:30 AM - 1:00 PM
02:30 - 13:00 	1:03 AM
01:03
Trading Hours 	LONDON 	7:30 AM - 6:00 PM
07:30 - 18:00 	6:03 AM
06:03
Trading Hours 	SINGAPORE 	2:30 PM - 1:00 AM
14:30 - 01:00 	1:03 PM
13:03
Codes 	Clearing Admin Name 	SARON 3Month 	SARON 3Month
Codes 	Physical 	SA3 	SA3
Codes 	Logical 	SA3 	SA3
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