ICE Eris GBP 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 annual floating interest payments based on GBP SONIA, over a term to maturity. SONIA, the Sterling Overnight Index Average, is a benchmark used as the reference rate for the sterling Overnight Indexed Swap (OIS) market and reflects overnight funding in the sterling overnight market in London. 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 GBP 2YR Interest Rate Future	Eris GBP 2YR Interest Rate Future 	Eris GBP 2YR Interest Rate Future 	Eris GBP 2YR Interest Rate Future
Trading Screen Product Name 	Eris GBP 2YR Interest Rate Future (0.00%) 	Eris GBP 2YR Interest Rate Future (0.00%) 	Eris GBP 2YR Interest Rate Future (0.00%)
Trading Screen Hub Name 	ICEU 	ICEU 	ICEU
Trading Hours 	7:30 AM to 6:00 PM London Time 	7:30 AM to 6:00 PM London Time 	7:30 AM to 6:00 PM London Time
Underlying Tenor 	The duration of time from the Effective Date to the Maturity Date.
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 30 years
Effective Dates: Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16, 2022” or “Mar 22”)	The duration of time from the Effective Date to the Maturity Date.
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 30 years
Effective Dates: Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16, 2022” or “Mar 22”)	The duration of time from the Effective Date to the Maturity Date.
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 30 years
Effective Dates: Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16, 2022” or “Mar 22”)
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 	Determined by Exchange Logical Code and Fixed Rate 	Determined by Exchange Logical Code and Fixed Rate
Contract Size 	1 Contract = 1 lot = £100,000 face value
£100,000 notional principal whose value is based upon the difference between a stream of annual fixed interest payments and a stream of annual floating interest payments based on compounded SONIA, over a term to maturity	1 Contract = 1 lot = £100,000 face value
£100,000 notional principal whose value is based upon the difference between a stream of annual fixed interest payments and a stream of annual floating interest payments based on compounded SONIA, over a term to maturity	1 Contract = 1 lot = £100,000 face value
£100,000 notional principal whose value is based upon the difference between a stream of annual fixed interest payments and a stream of annual floating interest payments based on compounded SONIA, over a term to maturity
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: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
Floating Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
Floating Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
Floating Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
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†	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†	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†
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 	IMM dates annually after the effective date 	IMM dates annually after the effective date 	IMM dates annually after the effective date
Floating Rate Index 	SONIA administered by The Bank of England 	SONIA administered by The Bank of England 	SONIA administered by The Bank of England
Floating Rate Payment 	The effective SONIA floating rate is equal to :
Si = SONIA rate on the ith day of the accrual period
di = the number of days that the value Si applied
x = the number of SONIA fixings used in the accrual period
N = the total number of days for which the x fixings applied, i.e. the number of calendar days in the accrual period
The payment is equal to the notional * Rate / 100 * ACT / 365	The effective SONIA floating rate is equal to :
Si = SONIA rate on the ith day of the accrual period
di = the number of days that the value Si applied
x = the number of SONIA fixings used in the accrual period
N = the total number of days for which the x fixings applied, i.e. the number of calendar days in the accrual period
The payment is equal to the notional * Rate / 100 * ACT / 365	The effective SONIA floating rate is equal to :
Si = SONIA rate on the ith day of the accrual period
di = the number of days that the value Si applied
x = the number of SONIA fixings used in the accrual period
N = the total number of days for which the x fixings applied, i.e. the number of calendar days in the accrual period
The payment is equal to the notional * Rate / 100 * ACT / 365
Daily Settlement Price Quotation 	ICE Futures Europe Eris Standard GBP 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††)
The B and C components are calculated once daily and applied by IFEU, and are not subject to negotiation by the counterparties
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Sterling OverNight Index Average (SONIA) 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 Standard GBP 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††)
The B and C components are calculated once daily and applied by IFEU, and are not subject to negotiation by the counterparties
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Sterling OverNight Index Average (SONIA) 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 Standard GBP 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††)
The B and C components are calculated once daily and applied by IFEU, and are not subject to negotiation by the counterparties
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Sterling OverNight Index Average (SONIA) 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 	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 	The Futures Price can be negotiated in the following increments/tick sizes:
• 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	The Futures Price can be negotiated in the following increments/tick sizes:
• 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	The Futures Price can be negotiated in the following increments/tick sizes:
• 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
Trading Methods 	ICE Futures Europe Eris Standard GBP 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 GBP 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 GBP 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
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 	IR Future GBP 	IR Future GBP
Codes 	Physical 	6G 	6G
Codes 	Logical 	6G 	6G
Codes 	GMI (FC) 	None 	None
Codes 	ION A.C.N. 	None 	None
Eris GBP 3YR Interest Rate Future	Eris GBP 3YR Interest Rate Future 	Eris GBP 3YR Interest Rate Future 	Eris GBP 3YR Interest Rate Future
Trading Screen Product Name 	Eris GBP 3YR Interest Rate Future (0.00%) 	Eris GBP 3YR Interest Rate Future (0.00%) 	Eris GBP 3YR Interest Rate Future (0.00%)
Trading Screen Hub Name 	ICEU 	ICEU 	ICEU
Trading Hours 	7:30 AM to 6:00 PM London Time 	7:30 AM to 6:00 PM London Time 	7:30 AM to 6:00 PM London Time
Underlying Tenor 	The duration of time from the Effective Date to the Maturity Date.
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 30 years
Effective Dates: Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16, 2022” or “Mar 22”)	The duration of time from the Effective Date to the Maturity Date.
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 30 years
Effective Dates: Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16, 2022” or “Mar 22”)	The duration of time from the Effective Date to the Maturity Date.
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 30 years
Effective Dates: Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16, 2022” or “Mar 22”)
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 	Determined by Exchange Logical Code and Fixed Rate 	Determined by Exchange Logical Code and Fixed Rate
Contract Size 	1 Contract = 1 lot = £100,000 face value
£100,000 notional principal whose value is based upon the difference between a stream of annual fixed interest payments and a stream of annual floating interest payments based on compounded SONIA, over a term to maturity	1 Contract = 1 lot = £100,000 face value
£100,000 notional principal whose value is based upon the difference between a stream of annual fixed interest payments and a stream of annual floating interest payments based on compounded SONIA, over a term to maturity	1 Contract = 1 lot = £100,000 face value
£100,000 notional principal whose value is based upon the difference between a stream of annual fixed interest payments and a stream of annual floating interest payments based on compounded SONIA, over a term to maturity
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: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
Floating Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
Floating Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
Floating Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
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†	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†	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†
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 	IMM dates annually after the effective date 	IMM dates annually after the effective date 	IMM dates annually after the effective date
Floating Rate Index 	SONIA administered by The Bank of England 	SONIA administered by The Bank of England 	SONIA administered by The Bank of England
Floating Rate Payment 	The effective SONIA floating rate is equal to :
Si = SONIA rate on the ith day of the accrual period
di = the number of days that the value Si applied
x = the number of SONIA fixings used in the accrual period
N = the total number of days for which the x fixings applied, i.e. the number of calendar days in the accrual period
The payment is equal to the notional * Rate / 100 * ACT / 365	The effective SONIA floating rate is equal to :
Si = SONIA rate on the ith day of the accrual period
di = the number of days that the value Si applied
x = the number of SONIA fixings used in the accrual period
N = the total number of days for which the x fixings applied, i.e. the number of calendar days in the accrual period
The payment is equal to the notional * Rate / 100 * ACT / 365	The effective SONIA floating rate is equal to :
Si = SONIA rate on the ith day of the accrual period
di = the number of days that the value Si applied
x = the number of SONIA fixings used in the accrual period
N = the total number of days for which the x fixings applied, i.e. the number of calendar days in the accrual period
The payment is equal to the notional * Rate / 100 * ACT / 365
Daily Settlement Price Quotation 	ICE Futures Europe Eris Standard GBP 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††)
The B and C components are calculated once daily and applied by IFEU, and are not subject to negotiation by the counterparties
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Sterling OverNight Index Average (SONIA) 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 Standard GBP 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††)
The B and C components are calculated once daily and applied by IFEU, and are not subject to negotiation by the counterparties
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Sterling OverNight Index Average (SONIA) 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 Standard GBP 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††)
The B and C components are calculated once daily and applied by IFEU, and are not subject to negotiation by the counterparties
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Sterling OverNight Index Average (SONIA) 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 	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 	The Futures Price can be negotiated in the following increments/tick sizes:
• 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	The Futures Price can be negotiated in the following increments/tick sizes:
• 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	The Futures Price can be negotiated in the following increments/tick sizes:
• 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
Trading Methods 	ICE Futures Europe Eris Standard GBP 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 GBP 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 GBP 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
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 	IR Future GBP 	IR Future GBP
Codes 	Physical 	6H 	6H
Codes 	Logical 	6H 	6H
Codes 	GMI (FC) 	None 	None
Codes 	ION A.C.N. 	None 	None
Eris GBP 5YR Interest Rate Future	Eris GBP 5YR Interest Rate Future 	Eris GBP 5YR Interest Rate Future 	Eris GBP 5YR 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
Trading Hours 	7:30 AM to 6:00 PM London Time 	7:30 AM to 6:00 PM London Time 	7:30 AM to 6:00 PM London Time
Underlying Tenor 	The duration of time from the Effective Date to the Maturity Date.
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 30 years
Effective Dates: Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16, 2022” or “Mar 22”)	The duration of time from the Effective Date to the Maturity Date.
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 30 years
Effective Dates: Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16, 2022” or “Mar 22”)	The duration of time from the Effective Date to the Maturity Date.
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 30 years
Effective Dates: Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16, 2022” or “Mar 22”)
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 	Determined by Exchange Logical Code and Fixed Rate 	Determined by Exchange Logical Code and Fixed Rate
Contract Size 	1 Contract = 1 lot = £100,000 face value
£100,000 notional principal whose value is based upon the difference between a stream of annual fixed interest payments and a stream of annual floating interest payments based on compounded SONIA, over a term to maturity	1 Contract = 1 lot = £100,000 face value
£100,000 notional principal whose value is based upon the difference between a stream of annual fixed interest payments and a stream of annual floating interest payments based on compounded SONIA, over a term to maturity	1 Contract = 1 lot = £100,000 face value
£100,000 notional principal whose value is based upon the difference between a stream of annual fixed interest payments and a stream of annual floating interest payments based on compounded SONIA, over a term to maturity
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: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
Floating Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
Floating Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
Floating Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
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†	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†	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†
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 	IMM dates annually after the effective date 	IMM dates annually after the effective date 	IMM dates annually after the effective date
Floating Rate Index 	SONIA administered by The Bank of England 	SONIA administered by The Bank of England 	SONIA administered by The Bank of England
Floating Rate Payment 	The effective SONIA floating rate is equal to :
Si = SONIA rate on the ith day of the accrual period
di = the number of days that the value Si applied
x = the number of SONIA fixings used in the accrual period
N = the total number of days for which the x fixings applied, i.e. the number of calendar days in the accrual period
The payment is equal to the notional * Rate / 100 * ACT / 365	The effective SONIA floating rate is equal to :
Si = SONIA rate on the ith day of the accrual period
di = the number of days that the value Si applied
x = the number of SONIA fixings used in the accrual period
N = the total number of days for which the x fixings applied, i.e. the number of calendar days in the accrual period
The payment is equal to the notional * Rate / 100 * ACT / 365	The effective SONIA floating rate is equal to :
Si = SONIA rate on the ith day of the accrual period
di = the number of days that the value Si applied
x = the number of SONIA fixings used in the accrual period
N = the total number of days for which the x fixings applied, i.e. the number of calendar days in the accrual period
The payment is equal to the notional * Rate / 100 * ACT / 365
Daily Settlement Price Quotation 	ICE Futures Europe Eris Standard GBP 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††)
The B and C components are calculated once daily and applied by IFEU, and are not subject to negotiation by the counterparties
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Sterling OverNight Index Average (SONIA) 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 Standard GBP 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††)
The B and C components are calculated once daily and applied by IFEU, and are not subject to negotiation by the counterparties
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Sterling OverNight Index Average (SONIA) 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 Standard GBP 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††)
The B and C components are calculated once daily and applied by IFEU, and are not subject to negotiation by the counterparties
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Sterling OverNight Index Average (SONIA) 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 	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 	The Futures Price can be negotiated in the following increments/tick sizes:
• 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	The Futures Price can be negotiated in the following increments/tick sizes:
• 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	The Futures Price can be negotiated in the following increments/tick sizes:
• 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
Trading Methods 	ICE Futures Europe Eris Standard GBP 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 GBP 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 GBP 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
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 	IR Future GBP 	IR Future GBP
Codes 	Physical 	6J 	6J
Codes 	Logical 	6J 	6J
Codes 	GMI (FC) 	None 	None
Codes 	ION A.C.N. 	None 	None
Eris GBP 7YR Interest Rate Future	Eris GBP 7YR Interest Rate Future 	Eris GBP 7YR Interest Rate Future 	Eris GBP 7YR Interest Rate Future
Trading Screen Product Name 	Eris GBP 7YR Interest Rate Future (0.25%) 	Eris GBP 7YR Interest Rate Future (0.25%) 	Eris GBP 7YR Interest Rate Future (0.25%)
Trading Screen Hub Name 	ICEU 	ICEU 	ICEU
Trading Hours 	7:30 AM to 6:00 PM London Time 	7:30 AM to 6:00 PM London Time 	7:30 AM to 6:00 PM London Time
Underlying Tenor 	The duration of time from the Effective Date to the Maturity Date.
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 30 years
Effective Dates: Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16, 2022” or “Mar 22”)	The duration of time from the Effective Date to the Maturity Date.
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 30 years
Effective Dates: Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16, 2022” or “Mar 22”)	The duration of time from the Effective Date to the Maturity Date.
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 30 years
Effective Dates: Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16, 2022” or “Mar 22”)
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 	Determined by Exchange Logical Code and Fixed Rate 	Determined by Exchange Logical Code and Fixed Rate
Contract Size 	1 Contract = 1 lot = £100,000 face value
£100,000 notional principal whose value is based upon the difference between a stream of annual fixed interest payments and a stream of annual floating interest payments based on compounded SONIA, over a term to maturity	1 Contract = 1 lot = £100,000 face value
£100,000 notional principal whose value is based upon the difference between a stream of annual fixed interest payments and a stream of annual floating interest payments based on compounded SONIA, over a term to maturity	1 Contract = 1 lot = £100,000 face value
£100,000 notional principal whose value is based upon the difference between a stream of annual fixed interest payments and a stream of annual floating interest payments based on compounded SONIA, over a term to maturity
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: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
Floating Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
Floating Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
Floating Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
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†	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†	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†
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 	IMM dates annually after the effective date 	IMM dates annually after the effective date 	IMM dates annually after the effective date
Floating Rate Index 	SONIA administered by The Bank of England 	SONIA administered by The Bank of England 	SONIA administered by The Bank of England
Floating Rate Payment 	The effective SONIA floating rate is equal to :
Si = SONIA rate on the ith day of the accrual period
di = the number of days that the value Si applied
x = the number of SONIA fixings used in the accrual period
N = the total number of days for which the x fixings applied, i.e. the number of calendar days in the accrual period
The payment is equal to the notional * Rate / 100 * ACT / 365	The effective SONIA floating rate is equal to :
Si = SONIA rate on the ith day of the accrual period
di = the number of days that the value Si applied
x = the number of SONIA fixings used in the accrual period
N = the total number of days for which the x fixings applied, i.e. the number of calendar days in the accrual period
The payment is equal to the notional * Rate / 100 * ACT / 365	The effective SONIA floating rate is equal to :
Si = SONIA rate on the ith day of the accrual period
di = the number of days that the value Si applied
x = the number of SONIA fixings used in the accrual period
N = the total number of days for which the x fixings applied, i.e. the number of calendar days in the accrual period
The payment is equal to the notional * Rate / 100 * ACT / 365
Daily Settlement Price Quotation 	ICE Futures Europe Eris Standard GBP 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††)
The B and C components are calculated once daily and applied by IFEU, and are not subject to negotiation by the counterparties
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Sterling OverNight Index Average (SONIA) 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 Standard GBP 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††)
The B and C components are calculated once daily and applied by IFEU, and are not subject to negotiation by the counterparties
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Sterling OverNight Index Average (SONIA) 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 Standard GBP 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††)
The B and C components are calculated once daily and applied by IFEU, and are not subject to negotiation by the counterparties
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Sterling OverNight Index Average (SONIA) 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 	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 	The Futures Price can be negotiated in the following increments/tick sizes:
• 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	The Futures Price can be negotiated in the following increments/tick sizes:
• 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	The Futures Price can be negotiated in the following increments/tick sizes:
• 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
Trading Methods 	ICE Futures Europe Eris Standard GBP 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 GBP 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 GBP 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
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 	IR Future GBP 	IR Future GBP
Codes 	Physical 	6LE 	6LE
Codes 	Logical 	6L 	6L
Codes 	GMI (FC) 	None 	None
Codes 	ION A.C.N. 	None 	None
Eris GBP 10YR Interest Rate Future	Eris GBP 10YR Interest Rate Future 	Eris GBP 10YR Interest Rate Future 	Eris GBP 10YR Interest Rate Future
Trading Screen Product Name 	Eris GBP 10YR Interest Rate Future (0.25%) 	Eris GBP 10YR Interest Rate Future (0.25%) 	Eris GBP 10YR Interest Rate Future (0.25%)
Trading Screen Hub Name 	ICEU 	ICEU 	ICEU
Trading Hours 	7:30 AM to 6:00 PM London Time 	7:30 AM to 6:00 PM London Time 	7:30 AM to 6:00 PM London Time
Underlying Tenor 	The duration of time from the Effective Date to the Maturity Date.
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 30 years
Effective Dates: Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16, 2022” or “Mar 22”)	The duration of time from the Effective Date to the Maturity Date.
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 30 years
Effective Dates: Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16, 2022” or “Mar 22”)	The duration of time from the Effective Date to the Maturity Date.
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 30 years
Effective Dates: Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16, 2022” or “Mar 22”)
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 	Determined by Exchange Logical Code and Fixed Rate 	Determined by Exchange Logical Code and Fixed Rate
Contract Size 	1 Contract = 1 lot = £100,000 face value
£100,000 notional principal whose value is based upon the difference between a stream of annual fixed interest payments and a stream of annual floating interest payments based on compounded SONIA, over a term to maturity	1 Contract = 1 lot = £100,000 face value
£100,000 notional principal whose value is based upon the difference between a stream of annual fixed interest payments and a stream of annual floating interest payments based on compounded SONIA, over a term to maturity	1 Contract = 1 lot = £100,000 face value
£100,000 notional principal whose value is based upon the difference between a stream of annual fixed interest payments and a stream of annual floating interest payments based on compounded SONIA, over a term to maturity
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: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
Floating Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
Floating Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
Floating Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
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†	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†	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†
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 	IMM dates annually after the effective date 	IMM dates annually after the effective date 	IMM dates annually after the effective date
Floating Rate Index 	SONIA administered by The Bank of England 	SONIA administered by The Bank of England 	SONIA administered by The Bank of England
Floating Rate Payment 	The effective SONIA floating rate is equal to :
Si = SONIA rate on the ith day of the accrual period
di = the number of days that the value Si applied
x = the number of SONIA fixings used in the accrual period
N = the total number of days for which the x fixings applied, i.e. the number of calendar days in the accrual period
The payment is equal to the notional * Rate / 100 * ACT / 365	The effective SONIA floating rate is equal to :
Si = SONIA rate on the ith day of the accrual period
di = the number of days that the value Si applied
x = the number of SONIA fixings used in the accrual period
N = the total number of days for which the x fixings applied, i.e. the number of calendar days in the accrual period
The payment is equal to the notional * Rate / 100 * ACT / 365	The effective SONIA floating rate is equal to :
Si = SONIA rate on the ith day of the accrual period
di = the number of days that the value Si applied
x = the number of SONIA fixings used in the accrual period
N = the total number of days for which the x fixings applied, i.e. the number of calendar days in the accrual period
The payment is equal to the notional * Rate / 100 * ACT / 365
Daily Settlement Price Quotation 	ICE Futures Europe Eris Standard GBP 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††)
The B and C components are calculated once daily and applied by IFEU, and are not subject to negotiation by the counterparties
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Sterling OverNight Index Average (SONIA) 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 Standard GBP 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††)
The B and C components are calculated once daily and applied by IFEU, and are not subject to negotiation by the counterparties
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Sterling OverNight Index Average (SONIA) 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 Standard GBP 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††)
The B and C components are calculated once daily and applied by IFEU, and are not subject to negotiation by the counterparties
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Sterling OverNight Index Average (SONIA) 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 	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 	The Futures Price can be negotiated in the following increments/tick sizes:
• 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	The Futures Price can be negotiated in the following increments/tick sizes:
• 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	The Futures Price can be negotiated in the following increments/tick sizes:
• 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
Trading Methods 	ICE Futures Europe Eris Standard GBP 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 GBP 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 GBP 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
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 	IR Future GBP 	IR Future GBP
Codes 	Physical 	6O 	6O
Codes 	Logical 	6O 	6O
Codes 	GMI (FC) 	None 	None
Codes 	ION A.C.N. 	None 	None
Eris GBP 30YR Interest Rate Future	Eris GBP 30YR Interest Rate Future 	Eris GBP 30YR Interest Rate Future 	Eris GBP 30YR Interest Rate Future
Trading Screen Product Name 	Eris GBP 30YR Interest Rate Future (0.50%) 	Eris GBP 30YR Interest Rate Future (0.50%) 	Eris GBP 30YR Interest Rate Future (0.50%)
Trading Screen Hub Name 	ICEU 	ICEU 	ICEU
Trading Hours 	7:30 AM to 6:00 PM London Time 	7:30 AM to 6:00 PM London Time 	7:30 AM to 6:00 PM London Time
Underlying Tenor 	The duration of time from the Effective Date to the Maturity Date.
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 30 years
Effective Dates: Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16, 2022” or “Mar 22”)	The duration of time from the Effective Date to the Maturity Date.
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 30 years
Effective Dates: Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16, 2022” or “Mar 22”)	The duration of time from the Effective Date to the Maturity Date.
Tenors available: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 30 years
Effective Dates: Quarterly IMM Dates (3rd Wednesday of each March, June, September, December) (e.g. a 2YR Tenor may read “Mar 16, 2022” or “Mar 22”)
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 	Determined by Exchange Logical Code and Fixed Rate 	Determined by Exchange Logical Code and Fixed Rate
Contract Size 	1 Contract = 1 lot = £100,000 face value
£100,000 notional principal whose value is based upon the difference between a stream of annual fixed interest payments and a stream of annual floating interest payments based on compounded SONIA, over a term to maturity	1 Contract = 1 lot = £100,000 face value
£100,000 notional principal whose value is based upon the difference between a stream of annual fixed interest payments and a stream of annual floating interest payments based on compounded SONIA, over a term to maturity	1 Contract = 1 lot = £100,000 face value
£100,000 notional principal whose value is based upon the difference between a stream of annual fixed interest payments and a stream of annual floating interest payments based on compounded SONIA, over a term to maturity
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: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
Floating Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
Floating Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month	Fixed Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
Floating Leg
• Reset Frequency: Annual
• Day Count Convention: Actual/365
• Currency: GBP
• Holiday Calendar: London
• Business Day Convention: Modified Following 3rd Wednesday of the month
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†	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†	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†
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 	IMM dates annually after the effective date 	IMM dates annually after the effective date 	IMM dates annually after the effective date
Floating Rate Index 	SONIA administered by The Bank of England 	SONIA administered by The Bank of England 	SONIA administered by The Bank of England
Floating Rate Payment 	The effective SONIA floating rate is equal to :
Si = SONIA rate on the ith day of the accrual period
di = the number of days that the value Si applied
x = the number of SONIA fixings used in the accrual period
N = the total number of days for which the x fixings applied, i.e. the number of calendar days in the accrual period
The payment is equal to the notional * Rate / 100 * ACT / 365	The effective SONIA floating rate is equal to :
Si = SONIA rate on the ith day of the accrual period
di = the number of days that the value Si applied
x = the number of SONIA fixings used in the accrual period
N = the total number of days for which the x fixings applied, i.e. the number of calendar days in the accrual period
The payment is equal to the notional * Rate / 100 * ACT / 365	The effective SONIA floating rate is equal to :
Si = SONIA rate on the ith day of the accrual period
di = the number of days that the value Si applied
x = the number of SONIA fixings used in the accrual period
N = the total number of days for which the x fixings applied, i.e. the number of calendar days in the accrual period
The payment is equal to the notional * Rate / 100 * ACT / 365
Daily Settlement Price Quotation 	ICE Futures Europe Eris Standard GBP 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††)
The B and C components are calculated once daily and applied by IFEU, and are not subject to negotiation by the counterparties
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Sterling OverNight Index Average (SONIA) 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 Standard GBP 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††)
The B and C components are calculated once daily and applied by IFEU, and are not subject to negotiation by the counterparties
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Sterling OverNight Index Average (SONIA) 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 Standard GBP 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††)
The B and C components are calculated once daily and applied by IFEU, and are not subject to negotiation by the counterparties
IFEU calculates Daily Settlement Price to 4 decimals of precision (e.g. 100.1234)
PAI†† is a cumulative value calculated daily by applying the Sterling OverNight Index Average (SONIA) 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 	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 	The Futures Price can be negotiated in the following increments/tick sizes:
• 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	The Futures Price can be negotiated in the following increments/tick sizes:
• 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	The Futures Price can be negotiated in the following increments/tick sizes:
• 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
Trading Methods 	ICE Futures Europe Eris Standard GBP 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 GBP 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 GBP 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
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 	IR Future GBP 	IR Future GBP
Codes 	Physical 	6S 	6S
Codes 	Logical 	6S 	6S
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