Interest Rate Futures Contract Specifications and Tick Values

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Futures contract specifications and tick values for the most liquid global interest rate and fixed income contracts.

Contract Underlying Exchange Ticker Symbol CCY Contract Multiplier Contract Unit Units Quoted Tick Size
1 Month EONIA EUREX FE01 EUR 3,000,000 1M Euro Over Night Index Average (EONIA) EUR per 100-EONIA 0.005
1 Month EONIA IFLL EON EUR 3,000,000 1M Euro Over Night Index Average (EONIA) published by Reuters EUR per 100-EONIA 0.005
10 Year EUR Interest Rate Swap EUREX FSWL EUR 1 IRS, notional EUR 100,000, 10 year tenor, exchanges semiannual fixed interest payments at Contract Fixed Rate for floating interest payments based on 6M EURIBOR EUR per 100+NPV 0.005
10 Year USD Interest Rate Swap CBOT N1U USD 1 IRS cleared by CME, notional $100,000, 10 year tenor, exchanges semiannual fixed interest payments at a rate per annum with 30/360 day count equal to Contract Fixed Rate for quarterly floating interest payments based on 3M LIBOR USD per 100+NPV 0.015625
2 Year EUR Interest Rate Swap EUREX FSWS EUR 1 IRS, notional EUR 100,000, 2 year tenor, exchanges semiannual fixed interest payments at Contract Fixed Rate for floating interest payments based on 6M EURIBOR EUR per 100+NPV 0.005
2 Year EUR Swapnote IFLL TWS, USO, GBW EUR 100 EUR 100,000 notional principal, 6.0% notional fixed rate, 2 years to maturity. EUR per nominal 0.005
5 Year EUR Swapnote IFLL O, USO, GBO EUR 100 EUR 100,000 notional principal, 6.0% notional fixed rate, 5 years to maturity. EUR per nominal 0.01
10 Year USD Swapnote IFLL P, USP, GBP USD 100 USD 100,000 notional principal, 6.0% notional fixed rate, 10 years to maturity. USD per nominal 0.02
30 Year EUR Swapnote IFLL EU3 EUR 100 EUR 100,000 notional principal, 6.0% notional fixed rate, 30 years to maturity. EUR per nominal 0.02
30 Year USD Swapnote IFLL US3 USD 100 USD 100,000 notional principal, 6.0% notional fixed rate, 30 years to maturity. USD per nominal 0.02
30 Year GBP Swapnote IFLL GB3 GBP 100 GBP 100,000 notional principal, 6.0% notional fixed rate, 30 years to maturity. GBP per nominal 0.02
3 Month EURIBOR EUREX FEU3 EUR 1,000,000 3M European Interbank Offered Rate (EURIBOR) EUR per 100-EURIBOR 0.005
3 Month EURIBOR IFLL I EUR 1,000,000 3M European Interbank Offered Rate published by EMMI (EMMI EURIBOR) at 11:00 Brussels time EUR per 100-EURIBOR 0.005
3 Month EURIBOR NLX NI EUR 1,000,000 3M European Interbank Offered Rate (EURIBOR) EUR per 100-EURIBOR 0.005
3 Month EUROSWISS IFLL S CHF 1,000,000 3M ICE Benchmark Administration Limited LIBOR Rate (ICE LIBOR) for three month Swiss Franc deposits EUR per 100-EUROSWISS 0.01
30 Year EUR Interest Rate Swap EUREX FSWX EUR 1 IRS, notional EUR 100,000, 30 year tenor, exchanges semiannual fixed interest payments at Contract Fixed Rate for floating interest payments based on 6M EURIBOR EUR per 100+NPV 0.005
30 Year USD Interest Rate Swap CBOT B1U USD 1 IRS cleared by CME, notional $100,000, 30 year tenor, exchanges semiannual fixed interest payments at a rate per annum with 30/360 day count equal to Contract Fixed Rate for quarterly floating interest payments based on 3M LIBOR USD per 100+NPV 0.015625
5 Year EUR Interest Rate Swap EUREX FSWM EUR 1 IRS, notional EUR 100,000, 5 year tenor, exchanges semiannual fixed interest payments at Contract Fixed Rate for floating interest payments based on 6M EURIBOR EUR per 100+NPV 0.005
5 Year USD Interest Rate Swap CBOT F1U USD 1 IRS cleared by CME, notional $100,000, 5 year tenor, exchanges semiannual fixed interest payments at a rate per annum with 30/360 day count equal to Contract Fixed Rate for quarterly floating interest payments based on 3M LIBOR USD per 100+NPV 0.015625
Agency DTCC GCF Repo Index IFEU RPA USD 5,000,000 1 month repo rate index, 30-day basis at average Agency DTCC Repo Index (ADRI) rate for the contract month USD per 100-ADRI 0.005
Australia 10 Year Interest Rate Swap ASX XS AUD 1 AUD 100,000 swap based on a 6.5% coupon and a term to maturity of 10 years AUD per 100-yield 0.5 bp
Australia 10 Year Treasury Bond ASX XT AUD 1 Australian Commonwealth Government Treasury Bonds, face value AUD 100,000, coupon 6% per annum, 10 year maturity, no tax rebate AUD per 100-yield 0.5 bp
Australia 3 Year Interest Rate Swap ASX YS AUD 1 AUD 100,000 swap based on a 6.5% coupon and a term to maturity of three years AUD per 100-yield 0.5 bp
Australia 3 Year Treasury Bond ASX YT AUD 1 Australian Commonwealth Government Treasury Bonds, face value AUD 100,000, coupon 6% per annum, 3 year maturity, no tax rebate AUD per 100-yield 1 bp
Australia 30 Day Interbank Cash Rate ASX IB AUD 3,000,000 Average monthly Interbank Overnight Cash Rate payable AUD per 100-yield 0.5 bp
Australia 90 Day Bank Accepted Bill ASX IR AUD 1,000,000 90-Day EBAs AUD per 100-yield 1 bp
Brazil 1 Day Interbank Deposit BM&F DI1 BRL 100,000 1 day interbank deposit rate, effective interest rate per annum, based on 252 business days, three decimal places BRL per deposit rate 0.01
Brazil A-Bond BM&F A18 USD 50,000 Federative Republic of Brazil 8% US Dollar Denominated Amortizing Note Due 2018 (A-Bond) USD per nominal 0.001
Canada 3 Month Bankers Acceptance MX BAX CAD 1,000,000 90-Day CBAs CAD per 100-yield 0.5 bp
Canada 30 Day Overnight Repo Rate MX ONX CAD 5,000,000 Compounded Daily Overnight Repo Rate (CORRA) CAD per 100-CORRA 0.5 bp
Canada Overnight Index Swap MX OIS CAD 5,000,000 IRS fixed rate for floating (CORRA) rate CAD per 100-CORRA 0.5 bp
Canada 2 Year Government Bond MX CGZ CAD 100 Government of Canada Bonds with face value of CAD 200,000, 6% notional coupon, 1.5-2.5 years to maturity CAD per nominal 0.005
Canada 5 Year Government Bond MX CGF CAD 100 Government of Canada Bonds with face value of CAD 100,000, 6% notional coupon, 4.5-5.25 years to maturity CAD per nominal 0.01
Canada 10 Year Canadian Bond MX CGB CAD 100 Government of Canada Bonds with face value of CAD 100,000, 6% notional coupon, 8-10.5 years to maturity CAD per nominal 0.01
Canada 30 Year Canadian Bond MX LGB CAD 100 Government of Canada Bonds with face value of CAD 100,000, 6% notional coupon, 25+ years to maturity CAD per nominal 0.01
Denmark Danish Mortgage Bond OMX n/a DKK 1 DKK 1,000,000 nominal value basket of callable mortgage bonds issued by Nykredit Realkredit, Realkredit Danmark, Nordea Kredit Totalkredit DKK per nominal 0.001
Denmark 3 Month CIBOR OMX n/a DKK 1,000,000 Copenhagen Interbank Offered Rate (CIBOR) time deposit, 3 month maturity DKK per 100-rate 0.005
Eurodollar CME ED,GE USD 1,000,000 Eurodollar Time Deposit, 3-month maturity USD per 100-rate 0.0025
Eurodollar IFEU ED USD 1,000,000 Eurodollar Time Deposit, 3-month maturity USD per 100-rate 0.0025
Eurodollar SGX ED USD 1,000,000 Eurodollar Time Deposit, 3-month maturity USD per 100-rate 0.0025
Euroyen LIBOR SGX EL JPY 100,000,000 British Bankers Association Euroyen LIBOR Time Deposit, 3-month maturity, London JPY per 100-rate 0.0025
Euroyen TIBOR SGX EY JPY 100,000,000 Japan Bankers Association Euroyen TIBOR Time Deposit, 1-month maturity JPY per 100-rate 0.0025
Euroyen TIBOR CME EY JPY 100,000,000 Japan Bankers Association Euroyen TIBOR Time Deposit, 1-month maturity JPY per 100-rate 0.0025
Euroyen TIBOR TFX n/a JPY 100,000,000 Japan Bankers Association Euroyen TIBOR Time Deposit, 1-month maturity JPY per 100-rate 0.005
France Euro-OAT EUREX FOAT EUR 1 EUR 100,000 notional Republic of France OAT, 6% coupon, remaining maturity 8.5-10.5 years EUR per percent of par 0.01
Germany Euro-Bobl EUREX FGBM EUR 1 EUR 100,000 notional German Federal Government Bobl, 6% coupon, remaining maturity 4.5-5.5 years EUR per percent of par 0.01
Germany Euro-Bund EUREX FGBL EUR 1 EUR 100,000 notional German Federal Government Bund, 6% coupon, remaining maturity 8.5-10.5 years EUR per percent of par 0.01
Germany Euro-Buxl EUREX FGBX EUR 1 EUR 100,000 notional German Federal Government Buxl, 4% coupon, remaining maturity 24-35 years EUR per percent of par 0.02
Germany Euro-Schatz EUREX FGBS EUR 1 EUR 100,000 notional German Federal Goverment Schatz, 6% coupon, remaining maturity 1.75-2.25 years EUR per percent of par 0.005
Germany 2 Year Schatz NLX NS EUR 100 EUR 100,000 notional German Federal Goverment Schatz, 6% coupon, remaining maturity 1.75-2.25 years EUR per nominal 0.005
Germany Short Bund (Schatz) IFLL G02 EUR 100 EUR 100,000 nominal value notional German Federal Goverment Schatz with 6% coupon, maturity 1.75-2.25 years EUR per nominal 0.005
Germany Medium Bund (Bobl) IFLL G05 EUR 100 EUR 100,000 nominal value notional German Federal Goverment Bobl with 6% coupon, maturity 4.5-5.5 years EUR per nominal 0.01
Germany 5 Year BOBL NLX NB EUR 100 EUR 100,000 nominal value notional German Federal Goverment Bobl with 6% coupon, maturity 4.5-5.5 years EUR per nominal 0.01
Germany 10 Year Bund NLX NU EUR 100 EUR 100,000 nominal value notional German Federal Goverment Bobl with 6% coupon, maturity 8.5-10.5 years EUR per nominal 0.01
Germany Ultra Long Bund IFLL G30 EUR 100 EUR 100,000 nominal value notional German Federal Goverment Bund with 4% coupon, maturity 24-35 years EUR per nominal 0.02
Hong Kong 1 Month HIBOR HKEx HB1 HKD 15,000,000 1 Month Hong Kong Interbank Rate (HIBOR) HKD per 100-yield 1 bp
Hong Kong 3 Month HIBOR HKEx HB3 HKD 5,000,000 3 Month Hong Kong Interbank Rate (HIBOR) HKD per 100-yield 1 bp
India 91-Day Treasury Bill NSE 91DTB INR 2,000 91-day Government of India (GOI) Treasury Bill INR per 100-yield 0.0025
India NSE Bond Futures II NSE NBFII INR 2,000 Government of India (GOI) security, face value 100, semi-annual coupon, residual maturity between 9 and 10 years INR per 100-yield 0.0025
Italy Long-Term Euro-BTP EUREX FBTP EUR 1 EUR 100,000 notional Italian BTP, 6% coupon, remaining maturity 8.5-11 years EUR per percent of par 0.01
Italy Mid-Term Euro-BTP EUREX FBTM EUR 1 EUR 100,000 notional Italian BTP, 6% coupon, remaining maturity 4.5-6 years EUR per percent of par 0.01
Italy Short-Term Euro-BTP EUREX FBTS EUR 1 EUR 100,000 notional Italian BTP, 6% coupon, remaining maturity 2-3.25 years EUR per percent of par 0.01
Italy Short BTP IFLL I02 EUR 100 EUR 100,000 nominal value notional Italian Government Bond with 6% coupon, maturity 2-3.25 years EUR per nominal 0.01
Italy Medium BTP IFLL I05 EUR 100 EUR 100,000 nominal value notional Italian Government Bond with 6% coupon, maturity 2.5-6 years EUR per nominal 0.01
Japan Overnight Call Rate TFX n/a JPY 300,000,000 Average Uncollateralized Overnight Call Rate (Final results) released by Bank Of Japan (BOJ) between BOJ Monetary Policy Meetings (MPMs) JPY per 100-rate 0.005
Japan 5 Year Government Bond OSE n/a JPY 100 JPY 100,000,000 Notional JGB, 3% Coupon, maturity 4-5.25 years JPY per nominal 0.01
Japan 10 Year Government Bond OSE n/a JPY 100 JPY 100,000,000 Notional JGB, 6% Coupon, maturity 7-11 years JPY per nominal 0.01
Japan 10 Year Government Bond Mini OSE n/a JPY 100 JPY 10,000,000 Notional JGB, 6% Coupon, maturity 7-11 years JPY per nominal 0.005
Japan 20 Year Government Bond OSE n/a JPY 100 JPY 100,000,000 Notional JGB, 6% Coupon, maturity 18-21 years JPY per nominal 0.05
Japan 10 Year Government Bond SGX JG JPY 100 JPY 100,000,000 Notional 10-Year JGB With 6% Coupon JPY per nominal 0.01
Japan 10 Year Government Bond Mini SGX JB JPY 100 JPY 10,000,000 Notional 10-Year JGB With 6% Coupon JPY per nominal 0.01
Korea 3 Year Treasury Bond KRX n/a KRW 1 KRW 100,000,000 Notional Korea Treasury Bond, 5% semiannual coupon KRW per nominal 0.01
Korea 5 Year Treasury Bond KRX n/a KRW 1 KRW 100,000,000 Notional Korea Treasury Bond, 5% semiannual coupon KRW per nominal 0.01
Korea 10 Year Treasury Bond KRX n/a KRW 1 KRW 100,000,000 Notional Korea Treasury Bond, 5% semiannual coupon KRW per nominal 0.01
Malaysia 3 Month KLIBOR BMDX FKB3 MYR 100,000 Ringgit Interbank time deposit in Kuala Lumpur Wholesale Money Market, three month maturity, 360-day year MYR per 100-yield 1 bp
Malaysia 3 Year Government Securities BMDX FMG3 MYR 1,000,000 Malaysian Government Securities (MGS) with coupon rate of 6% and 3 years to maturity MYR per 100-yield 1 bp
Malaysia 3 Year Government Securities BMDX FMG5 MYR 1,000,000 Malaysian Government Securities (MGS) with 5 years to maturity MYR per 100-yield 1 bp
Mexico 10 Year Government Bond MEXDER M10 MXN 1,000 MXN 100 Notional Mexico Federal Government Development Bonds (BONOS), fixed coupon, 10 year maturity MXN per nominal 0.025
Mexico 20 Year Government Bond MEXDER M20 MXN 1,000 MXN 100 Notional Mexico Federal Government Development Bonds (BONOS), fixed coupon, 20 year maturity MXN per nominal 0.025
Mexico 28 Day Interbank Rate MEXDER TE28 MXN 100,000 28-Day Interbank Equilibrium Interest rate (TIIE) MXN per 100-yield 0.01
New Zealand 30 Day Official Cash Rate ASX Z0 NZD 3,000,000 Average Monthly Reserve Bank of New Zealand Target Cash Rate Payable NZD per 100-yield 0.5 bp
New Zealand 90 Day Bank Bill ASX BB NZD 1,000,000 90-Day EBAs NZD per 100-yield 1 bp
Russia 2 Year Government Bond MOEX OFZ2 RUB 10 RUB 1,000 nominal value notional Russian Federation Government Bonds, maturity 1-3 years RUB per nominal 1
Russia 10 Year Government Bond MOEX OF10 RUB 10 RUB 1,000 nominal value notional Russian Federation Government Bonds, maturity 8-12 years RUB per nominal 1
South Africa Government Bond JSE R ZAR 1 ZAR 100,000 nominal value notional South Africa Government Bonds ZAR per nominal 0.1
South Africa 3 Month JIBAR JSE n/a ZAR 100,000 Johannesburg Interbank Agreed Rate (JIBAR) time deposit, 3 month maturity ZAR per 100-rate 0.001
Spain Short Government Bond IFLL S02 EUR 100 EUR 100,000 nominal value notional Spanish Government Bonds with 6% coupon, maturity 1-3 years EUR per nominal 0.01
Spain Medium Government Bond IFLL S05 EUR 100 EUR 100,000 nominal value notional Spanish Government Bonds with 6% coupon, maturity 4-6 years EUR per nominal 0.01
Sweden 3 Month STIBOR OMX n/a SEK 1,000,000 Stockholm Interbank Offered Rate (STIBOR) time deposit, 3 month maturity SEK per 100-rate 0.005
Sweden 2 Year Government Bond OMX 2STAT SEK 1 SEK 1,000,000 nominal value notional Government of Sweden, 6% coupon, 2 year maturity SEK per nominal 0.001
Sweden 5 Year Government Bond OMX 5STAT SEK 1 SEK 1,000,000 nominal value notional Government of Sweden, 6% coupon, 5 year maturity SEK per nominal 0.001
Sweden 10 Year Government Bond OMX 5STAT SEK 1 SEK 1,000,000 nominal value notional Government of Sweden, 6% coupon, 10 year maturity SEK per nominal 0.001
Sweden RIBA OMX RIBA SEK 1,000,000 Riksbank Repo Rate (RIBA) between 2 consecutive IMM dates SEK per nominal 0.001
Switzerland CONF EUREX CONF CHF 1 EUR 100,000 notional Swiss Confederation CONF, 6% coupon, remaining maturity 8-13 years CHF per percent of par 0.01
Switzerland Medium Government Bond IFLL C05 CHF 100 EUR 100,000 nominal value notional Spanish Government Bonds with 3% coupon, maturity 4-6.5 years CHF per nominal 0.01
Taiwan 10 Year Government Bond TAIFEX GBF TWD 100 10-year government bonds having a face value of NTD 5M and 3% coupon TWD per 100-yield 0.005
3 Month Sterling IFLL L GBP 500,000 ICE Benchmark Administration Limited 3 Month GBP London Interbank Offered Rate (ICELIBOR) GBP per 100-ICELIBOR 0.01
3 Month Sterling NLX NL GBP 500,000 3 Month GBP London Interbank Offered Rate (LIBOR) GBP per 100-LIBOR 0.01
UK Short Gilt IFLL G GBP 100 GBP 100,000 nominal value notional UK Gilt with 3% coupon, maturity 1.5-3.24 years GBP per nominal 0.01
UK Medium Gilt IFLL H GBP 100 GBP 100,000 nominal value notional UK Gilt with 4% coupon, maturity 4-6.25 years GBP per nominal 0.01
UK Long Gilt IFLL R GBP 100 GBP 100,000 nominal value notional UK Gilt with 4% coupon, maturity 8 years and 9 months to 13 years GBP per nominal 0.01
UK Long Gilt NLX NR GBP 100 GBP 100,000 nominal value notional UK Gilt with 4% coupon, maturity 8 years and 9 months to 13 years GBP per nominal 0.01
UK Ultra Long Gilt IFLL U GBP 100 GBP 100,000 nominal value notional UK Gilt with 4% coupon, maturity 28-37 years GBP per nominal 0.02
US 10 Year Treasury Note CBOT TY, ZN USD 100,000 10 year U.S. Treasury Note USD per bp 0.015625
US 2 Year Treasury Note CBOT TU, ZT USD 200,000 2 year U.S. Treasury Note USD per bp 0.0078125
US 20 Year Treasury Bond CBOT US, ZB USD 100,000 15-25 year U.S. Treasury Bond USD per bp 0.03125
US 30 Day Federal Funds CBOT FF, ZQ USD 5,000,000 Average daily fed funds overnight rate (FFOR), rounded to the nearest half basis point, for the delivery month USD per 100-FFOR 0.0025
US 5 Year Treasury Note CBOT FV, ZF USD 100,000 5 year U.S. Treasury Note USD per bp 0.0078125
US Mortgage Backed Securities DTCC GCF Repo Index IFEU RPM USD 5,000,000 1 month repo rate index, 30-day basis at average Mortgage Backed Securities DTCC GCF Repo Index (MBSDRI) rate for the contract month USD per 100-MBSDRI 0.005
US Treasury DTCC GCF Repo Index IFEU RPT USD 5,000,000 1 month repo rate index, 30-day basis at average U.S. Treasury DTCC GCF Repo Index (TDRI) rate for the contract month USD per 100-TDRI 0.005
US Ultra Treasury Bond CBOT UL, UB USD 100,000 25+ year U.S. Treasury Bond USD per bp 0.03125