3M SARON® Futures (FSR3)

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

Statistics

Last update:Nov 27, 2021 12:00:00 AM

Traded contracts:
0
Open interest (adj.):
0
Product type:
F
Stock exchange:
n/a
Underlying closing price:
0.00
Delivery month Opening price Daily high Daily low Last price Settlem. price Traded contracts Open interest Open interest (adj.)
Dec 21 0.00 0.00 0.00 0.00 100.71 0 0 0
Dec 22 0.00 0.00 0.00 0.00 100.70 0 0 0
Mar 22 0.00 0.00 0.00 0.00 100.75 0 0 0
Jun 22 0.00 0.00 0.00 0.00 100.76 0 0 0
Sep 22 0.00 0.00 0.00 0.00 100.73 0 0 0
Dec 23 0.00 0.00 0.00 0.00 100.395 0 0 0
Mar 23 0.00 0.00 0.00 0.00 100.65 0 0 0
Jun 23 0.00 0.00 0.00 0.00 100.545 0 0 0
Sep 23 0.00 0.00 0.00 0.00 100.46 0 0 0
Mar 24 0.00 0.00 0.00 0.00 100.365 0 0 0
Jun 24 0.00 0.00 0.00 0.00 100.305 0 0 0
Sep 24 0.00 0.00 0.00 0.00 100.245 0 0 0
Total           0 0 0

Prices/Quotes

Displayed data is 15 minutes delayed. Last trade:

Nov 26, 2021 5:15:46 PM

Orderbook

Opening price High Low Bid price Bid vol Ask price Ask vol Diff. to prev. day last Last price Date Time Daily settlem. price Traded contracts Open interest (adj.) Open interest date Last trading day
n.a. n.a. n.a. n.a. n.a. n.a. n.a. +0.03% 100.75 11/26/2021 17:15:46 100.75 0 0 09/21/2021 11/26/2021

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 size

CHF 1 million.

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 percent, with three decimal places, expressed as 100 minus the traded rate of interest. The minimum price change is 0.005 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 SARON® rate is rounded to three decimal places.

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 | Holiday

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

  • Jan 15
    Money market derivatives | Last Trading Day

    Last Trading Day for Options on Three-Month EURIBOR Futures

  • Jan 18
    Money market derivatives | Delivery Day

    Delivery Day for Options on Three-Month EURIBOR Futures

  • Jan 18
    Money market derivatives | Last Trading Day

    Last Trading Day for Three-Month EURIBOR Futures

  • Jan 26
    Money market derivatives | Last Trading Day

    Last Trading Day for EONIA Futures

  • Jan 26
    Money market derivatives | Last Trading Day

    Last Trading Day for EUR Secured Funding Futures

  • Feb 12
    Money market derivatives | Last Trading Day

    Last Trading Day for Options on Three-Month EURIBOR Futures

  • Feb 14
    Money market derivatives | Last Trading Day

    Last Trading Day for Three-Month EURIBOR Futures

  • Feb 15
    Money market derivatives | Delivery Day

    Delivery Day for Options on Three-Month EURIBOR Futures

  • Feb 15
    Money market derivatives | Last Trading Day

    Last Trading Day for Options on Three-Month EURIBOR Futures (standard)

  • Feb 15
    Money market derivatives | Last Trading Day

    Last Trading Day for Three-Month EURIBOR Futures

  • Mar 12
    Money market derivatives | Last Trading Day

    Last Trading Day for Options on Three-Month EURIBOR Futures (OEM1-4)

  • Mar 15
    Money market derivatives | Last Trading Day

    Last Trading Day for Three-Month EURIBOR Futures

  • Mar 15
    Money market derivatives | Delivery Day

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

  • Mar 16
    Money market derivatives | Delivery Day

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

  • Mar 16
    Money market derivatives | Last Trading Day

    Last Trading Day for Three-Month SARON® Futures

  • Mar 16
    Money market derivatives | Last Trading Day

    Last Trading Day for EONIA Futures

  • Mar 16
    Money market derivatives | Last Trading Day

    Last Trading Day for EUR Secured Funding Futures

  • Apr 02
    Interest Rates | Equity | Equity Index | Dividends | Volatility | FX | ETF & ETC | Commodity | Holiday

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

  • Apr 05
    Interest Rates | Equity | Equity Index | Dividends | FX | Volatility | ETF & ETC | Commodity | Holiday

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

  • Apr 16
    Money market derivatives | Last Trading Day

    Last Trading Day for Options on Three-Month EURIBOR Futures

  • Apr 19
    Money market derivatives | Last Trading Day

    Last Trading Day for Three-Month EURIBOR Futures

  • Apr 19
    Money market derivatives | Delivery Day

    Delivery Day for Options on Three-Month EURIBOR Futures

  • Apr 27
    Money market derivatives | Last Trading Day

    Last Trading Day for EUR Secured Funding Futures

  • Apr 27
    Money market derivatives | Last Trading Day

    Last Trading Day for EONIA Futures

  • May 14
    Money market derivatives | Last Trading Day

    Last Trading Day for options on Three-Month EURIBOR Futures

  • May 17
    Money market derivatives | Last Trading Day

    Last Trading Day for Three-Month EURIBOR Futures

  • May 17
    Money market derivatives | Delivery Day

    Delivery Day for Options on Three-Month EURIBOR Futures

  • Jun 11
    Money market derivatives | Last Trading Day

    Last Trading Day for Options on Three-Month EURIBOR Futures (OEM1-4)

  • Jun 14
    Money market derivatives | Last Trading Day

    Last Trading Day for Three-Month EURIBOR Futures

  • Jun 14
    Money market derivatives | Delivery Day

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

  • Jun 14
    Money market derivatives | Last Trading Day

    Last Trading Day for Options on Three-Month EURIBOR Futures (standard)

  • Jun 15
    Money market derivatives | Delivery Day

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

  • Jun 15
    Money market derivatives | Last Trading Day

    Last Trading Day for EONIA Futures

  • Jun 15
    Money market derivatives | Last Trading Day

    Last Trading Day for Three-Month SARON® Futures

  • Jun 15
    Money market derivatives | Last Trading Day

    Last Trading Day for EUR Secured Funding Futures

  • Jul 16
    Money market derivatives | Last Trading Day

    Last Trading Day for Options on Three-Month EURIBOR Futures

  • Jul 19
    Money market derivatives | Last Trading Day

    Last Trading Day for Three-Month EURIBOR Futures

  • Jul 19
    Money market derivatives | Delivery Day

    Delivery Day for Options on Three-Month EURIBOR Futures

  • Jul 27
    Money market derivatives | Last Trading Day

    Last Trading Day for EUR Secured Funding Futures

  • Jul 27
    Money market derivatives | Last Trading Day

    Last Trading Day for EONIA Futures

  • Aug 13
    Money market derivatives | Last Trading Day

    Last Trading Day for Options on Three-Month EURIBOR Futures

  • Aug 16
    Money market derivatives | Delivery Day

    Delivery Day for Options on Three-Month EURIBOR Futures

  • Aug 16
    Money market derivatives | Last Trading Day

    Last Trading Day for Three-Month EURIBOR Futures

  • Sep 10
    Money market derivatives | Last Trading Day

    Last Trading Day for Options on Three-Month EURIBOR Futures (OEU3)

  • Sep 13
    Money market derivatives | Last Trading Day

    Last Trading Day for Options on Three-Month EURIBOR Futures (standard)

  • Sep 13
    Money market derivatives | Last Trading Day

    Last Trading Day for Three-Month EURIBOR Futures

  • Sep 13
    Money market derivatives | Delivery Day

    Delivery Day for Options on Three-Month EURIBOR Futures (OEU3)

  • Sep 14
    Money market derivatives | Delivery Day

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

  • Sep 14
    Money market derivatives | Last Trading Day

    Last Trading Day for EUR Secured Funding Futures

  • Sep 14
    Money market derivatives | Last Trading Day

    Last Trading Day for Three-Month SARON® Futures

  • Sep 14
    Money market derivatives | Last Trading Day

    Last Trading Day for EONIA Futures

  • Oct 15
    Money market derivatives | Last Trading Day

    Last Trading Day for Options on Three-Month EURIBOR Futures

  • Oct 18
    Money market derivatives | Last Trading Day

    Last Trading Day for Three-Month EURIBOR Futures

  • Oct 18
    Money market derivatives | Delivery Day

    Delivery Day for Options on Three-Month EURIBOR Futures

  • Nov 02
    Money market derivatives | Last Trading Day

    Last Trading Day for EONIA Futures

  • Nov 02
    Money market derivatives | Last Trading Day

    Last Trading Day for EUR Secured Funding Futures

  • Nov 12
    Money market derivatives | Last Trading Day

    Last Trading Day for Options on Three-Month EURIBOR Futures

  • Nov 15
    Money market derivatives | Last Trading Day

    Last Trading Day for Three-Month EURIBOR Futures

  • Nov 15
    Money market derivatives | Delivery Day

    Delivery Day for Options on Three-Month EURIBOR Futures

  • Dec 10
    Money market derivatives | Last Trading Day

    Last Trading Day for Options on Three-Month EURIBOR Futures (OEM1-4)

  • Dec 13
    Money market derivatives | Last Trading Day

    Last Trading Day for Options on Three-Month EURIBOR Futures (standard)

  • Dec 13
    Money market derivatives | Delivery Day

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

  • Dec 13
    Money market derivatives | Last Trading Day

    Last Trading Day for Three-Month EURIBOR Futures

  • Dec 14
    Money market derivatives | Delivery Day

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

  • Dec 14
    Money market derivatives | Last Trading Day

    Last Trading Day for 3M SARON® Futures

  • Dec 21
    Money market derivatives | Last Trading Day

    Last Trading Day for EUR Secured Funding Futures

  • Dec 21
    Money market derivatives | Last Trading Day

    Last Trading Day for EONIA Futures

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

    Eurex is closed for trading 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-accounts) CHF 0.50 per contract
Exchange transactions: Standard fees (M- and P-accounts) CHF 0.40 per contract
TES transactions / Eurex EnLight: Standard fees (A-accounts) CHF 0.75 per contract
TES transactions / Eurex EnLight: Standard fees (M- and P-accounts) CHF 0.60 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

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