SARON® Futures

3M SARON® Futures (FSR3)

  • Bloomberg L.P.
    SZAA Comdty
  • Refinitiv
    0#FSR3:
  • Currency
    CHF
  • Product ISIN
    DE000A3CTV01
  • Underlying ISIN
    CH0049613687

Prices/Quotes

Price Chart

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Statistics

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Specifications

Contract Specifications

Contract standards

Swiss Average Rate Overnight (SARON®), a collateralized reference rate based on actual market transactions and prices in the Swiss inter-bank repo market.

Contract value

CHF 2,500 per index point.

Settlement

Cash settlement, payable on the first Swiss exchange day following the final settlement day.

Price quotation and minimum price change

The price quotation is in index points with three decimal places on an index basis of 100 less the numerical value of the interest rate traded. The minimum price change is 0.005 index points, equivalent to a value of CHf 12.50.

Contract months

Up to 36 months: The twelve nearest quarterly months of the March, June, September and December cycle.

Contract delivery months are named by the start date of the accrual period. Example: For a March contract, the accrual period starts on IMM Wednesday of December and ends with the last trading day before IMM Wednesday of March - the contract delivery month.

Last trading day and final settlement day

Last trading day is the final settlement day. Final settlement day is the first exchange days prior to the third Wednesday of the respective maturity month, provided that on that day the SIX Swiss Exchange AG has determined the reference interest rate SARON®; otherwise, the exchange day immediately preceding that day. Close of trading in the maturing futures on the last trading day is at 18:00 CET.

Daily settlement price

The daily settlement price for the current maturity month of 3M SARON® Futures is derived from the volume-weighted average of the prices of all transactions during the minute before 17:15 CET (reference point), provided that more than five trades transacted within this period.

For the remaining maturity months, the daily settlement price for a contract is determined based on the average bid/ask spread of the combination order book.

Final settlement price

The final settlement price is established by Eurex on the final settlement day after the last SARON® fixing at 18:00 CET and is determined by the following formula:



To fix the final settlement price, the numerical value of the SARON® rate is rounded to three decimal places and then subtracted from 100..

Block Trades

Admitted to the Eurex Block Trade Service with a Minimum Block Trade Size of 100 contracts.

Market-Making Parameter

All quotation parameters at a glance

  • Quotation period
  • Maturity range
  • Spread class & Maximum Spread
  • Minimum Quote Size
Liquidity Provider schemes

Mistrade Parameter

This file provides an overview of mistrade ranges for Options and Futures including information on their behavior close to expiration and in stressed markets.
 

Mistrade Ranges

Crossing Parameters

(section 2.6 Eurex Trading Conditions)

(1) Orders and quotes relating to the same instrument or combined instrument may, in case they could immediately be executed against each other, neither be entered knowingly by an Exchange Participant (a cross trade) nor pursuant to a prior understanding by two different Exchange Participants (a pre-arranged trade), unless the conditions according to Paragraph 3 have been fulfilled. The same shall apply for the entry of orders as part of a quote.

(2) An Exchange Participant may submit a description of his internal and external links to the EDP system of Eurex Deutschland to the Market Surveillance Office of Eurex Deutschland with a view to a decision on whether the Exchange Participant acted knowingly within the meaning of Paragraph 1. The details of the specifications of the description of the IT linkage pursuant to Sentence 1 shall be determined by the Surveillance Office of Eurex Deutschland in agreement with the Management Board of Eurex Deutschland.

(3) A cross trade or a pre-arranged trade is admissible if a participant in a cross-trade or a pre-arranged trade, prior to entering his order or quote into the EDP system of Eurex Deutschland, announces his intention to execute a corresponding number of contracts as cross-trades or pre-arranged trades in the order book (“cross request”). The order or quote giving rise to the cross trade or pre-arranged trade must be entered one second at the earliest and 61 seconds at the latest with regard to Money Market Futures contracts, Fixed Income Futures contracts, options on Money Market Futures contracts and options on Fixed Income Futures contracts, respectively 31 seconds at the latest with regard to all other futures and option contracts after having entered the cross request. The purchasing Exchange Participant shall bear the responsibility for compliance with the content of the cross request entry. Entering a cross request without subsequently entering the respective order or quote is not admissible.

(4) Paragraphs 1 and 3 shall not apply to transactions consummated during the netting process in an auction (Number 1.4 Paragraphs 2 and Paragraph 3).

(5) Paragraph 1 shall apply mutatis mutandis to other behaviour constituting evasion of this regulation.

Trading Hours

Regular Trading Day
Pre-Trading Trading Post-Trading
Full Late1 Late2 Restricted
07:30 08:00 18:00 19:00 19:00
Last Trading Day
Pre-Trading Trading Post-Trading
Full Late1 Late2 Restricted
07:30 08:00 18:00

Trading Calendar

  • Jan 01
    Interest Rates | Equity | Equity Index | Dividends | FX | Volatility | ETF & ETC | Commodity | Cryptocurrency | Holiday

    Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives

  • Jan 12
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures

  • Jan 15
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • Jan 15
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures

  • Feb 16
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures

  • Feb 19
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • Feb 19
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures

  • Mar 15
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures (OEM1-4)

  • Mar 18
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • Mar 18
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures (standard)

  • Mar 18
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures (OEM1-4)

  • Mar 19
    Money market index derivatives | Last Trading Day

    Last trading day for 3M SARON® Futures and Three-Month Euro STR Futures

  • Mar 19
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures (standard)

  • Mar 29
    Interest Rates | Equity | Equity Index | Dividends | Cryptocurrency | Volatility | FX | ETF & ETC | Commodity | Holiday

    Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives

  • Apr 01
    Interest Rates | Equity | Equity Index | Dividends | FX | Volatility | ETF & ETC | Commodity | Cryptocurrency | Holiday

    Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives

  • Apr 12
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures

  • Apr 15
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • Apr 15
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures

  • May 01
    Interest Rates | Equity | Equity Index | Dividends | FX | Volatility | ETF & ETC | Commodity | Cryptocurrency | Holiday

    Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives

  • May 10
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures

  • May 13
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • May 13
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures

  • Jun 14
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures (OEM1-4)

  • Jun 17
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • Jun 17
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures (standard)

  • Jun 17
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures (OEM1-4)

  • Jun 18
    Money market index derivatives | Last Trading Day

    Last trading day for 3M SARON® Futures and Three-Month Euro STR Futures

  • Jun 18
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures (standard)

  • Jul 12
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures

  • Jul 15
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • Jul 15
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures

  • Aug 16
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures

  • Aug 19
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • Aug 19
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures

  • Sep 13
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures (OEM1-4)

  • Sep 16
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • Sep 16
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures (standard)

  • Sep 16
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures (OEM1-4)

  • Sep 17
    Money market index derivatives | Last Trading Day

    Last trading day for 3M SARON® Futures and Three-Month Euro STR Futures

  • Sep 17
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures (standard)

  • Oct 11
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures

  • Oct 14
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • Oct 14
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures

  • Nov 15
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures

  • Nov 18
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • Nov 18
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures

  • Dec 13
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures (OEM1-4)

  • Dec 16
    Money market index derivatives | Last Trading Day

    Last trading day for Three-Month EURIBOR Futures

  • Dec 16
    Money market index derivatives | Last Trading Day

    Last trading day for Options on Three-Month EURIBOR Futures

  • Dec 16
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures (OEM1-4)

  • Dec 17
    Money market index derivatives | Last Trading Day

    Last trading day for 3M SARON® Futures and Three-Month Euro STR Futures

  • Dec 17
    Money market index derivatives | Delivery Day

    Delivery day for Options on Three-Month EURIBOR Futures (standard)

  • Dec 24
    Interest Rates | Equity | Equity Index | Dividends | Volatility | ETF & ETC | Cryptocurrency | Commodity | FX | Holiday

    Eurex is closed for trading in all derivatives

  • Dec 25
    Interest Rates | Equity | Equity Index | Dividends | FX | Volatility | ETF & ETC | Commodity | Cryptocurrency | Holiday

    Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives

  • Dec 26
    Interest Rates | Equity | Equity Index | Dividends | FX | Volatility | ETF & ETC | Commodity | Cryptocurrency | Holiday

    Eurex is closed for trading and clearing (exercise, settlement and cash) in all derivatives

  • Dec 31
    Interest Rates | Equity | Equity Index | Dividends | Volatility | ETF & ETC | Cryptocurrency | Commodity | FX | Holiday

    Eurex is closed for trading in all derivatives

Transaction Fees

Fee Type Fee
Exchange transactions: Standard fees (A-, M- and P-accounts) CHF 0.50 per contract
TES transactions / Eurex EnLight: Standard fees (A-, M- and P-accounts) CHF 0.75 per contract
Position Closing Adjustments (A-accounts) CHF 1.00 per contract
Position Closing Adjustments (M- and P-accounts) CHF 0.80 per contract
Cash settlement (A-accounts) CHF 0.50 per contract
Cash settlement (M- and P-accounts) CHF 0.40 per contract
Position transfer with cash transfer CHF 13.00 per transaction

Order Book

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Market Status

XEUR

The market status window is an indication regarding the current technical availability of the trading system. It indicates whether news board messages regarding current technical issues of the trading system have been published or will be published shortly.

Please find further information about incident handling in the Emergency Playbook published on the Eurex webpage under Support --> Emergencies and safeguards. Detailed information about incident communication, market re-opening procedures and best practices for order and trade reconciliation can be found in the chapters 4.2, 4.3 and 4.5, respectively. Concrete information for the respective incident will be published during the incident via newsboard message. 

We strongly recommend not to take any decisions based on the indications in the market status window but to always check the production news board for comprehensive information on an incident.

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