CurveGlobal Products


CurveGlobal currently lists the following Futures Contracts:


Short Term Interest Rate (STIR) Futures

Contract Underlying Based on the compounded Sterling Over Night Index Average (SONIA) rate calculated over the relevant accrual period on a notional amount of GBP 500,000.
Type of contract Cash Settled Futures Contract with Daily Cash Settlement
Central Counterparty LCH
Trading Hours
(London Time)
Opening Auction Continuous Trading Manual Trade Reporting
(Block Trades / Basis Trades / Exchange of Future for Swap)
Electronic Trade Reporting
(Block Trades / Basis Trades / Exchange of Future for Swap)
06:30 - 07:30 07:30 - 18:00 07:30 - 18:00 07:30 - 18:00
Currency GBP, Pounds Sterling, £
Quotation display 100 minus rate of interest
Tick Size and Tick Value Tick Size Tick Value
0.005 GBP 6.25
Settlement style Cash Settlement
Listing Day First Trading Day following the Last Trading Day
Contract Lifetimes and Expiration Months 13 consecutive delivery months will be available for trading where the front month will be the contract in accrual.
Daily Settlement Price (DSP) The DSP will be calculated at 16:15 London time and disseminated shortly afterwards. It will be derived from the volume weighted average of the prices of all transactions during the minute before 16:15 London time, provided that five or more trades are transacted within this period. If there is insufficient trade data available for a specific day, the DSP will be established using a Fair Value model. In the event that a price cannot be determined, the Exchange will determine the DSP in accordance with the Rules of CurveGlobal Markets.
Daily Cash Settlement One Bank day after the Trade Day / calculation of Daily Settlement Price for cash movements of Daily Settlement Amounts.
Accrual Period The 3rd Wednesday of the contract month to the day before the 3rd Wednesday of the next month (e.g.Oct-19 Contract accrual will start from 16th Oct 2019 to 19th Nov 2019).
Exchange Delivery Settlement Price (EDSP) CurveGlobal Markets shall establish the EDSP by 11:00 London time on the publication day of the last SONIA fixing for the relevant accrual period. The EDSP is based on the compounded SONIA rate over the accrual period and will be 100 minus this rate. The compounding will be calculated to 8 decimals places during the accrual period and then rounded to 4 decimal places for the EDSP. The compounding represents the effective rate of interest achieved by reinvesting at SONIA for each day of the accrual period of the contract.
Last Trading Day Trading will cease at 08:30 London time on the standard IMM dates (3rd Wednesday of the month).

Contract Underlying Based on the compounded Sterling Over Night Index Average (SONIA) rate calculated over the relevant accrual period on a notional amount of GBP 500,000.
Type of contract Cash Settled Futures Contract with Daily Cash Settlement
Central Counterparty LCH
Trading Hours
(London Time)
Opening Auction Continuous Trading Manual Trade Reporting
(Block Trades / Basis Trades / Exchange of Future for Swap)
Electronic Trade Reporting
(Block Trades / Basis Trades / Exchange of Future for Swap)
06:30 - 07:30 07:30 - 18:00 07:30 - 18:00 07:30 - 18:00
Currency GBP, Pounds Sterling, £
Quotation display 100 minus rate of interest
Tick Size and Tick Value Tick Size Tick Value
0.005 GBP 6.25
Settlement style Cash Settlement
Listing Day First Trading Day following the Last Trading Day
Contract Lifetimes and Expiration Months Twenty-five quarterly delivery months of the March, June, September and December cycle where the front quarterly month will be a contract in accrual, as well as four serial months where the front two serial months will also be contracts in accrual, such that 29 delivery months are available for trading, and with the nearest six delivery months being consecutive calendar months.
Daily Settlement Price (DSP) The DSP will be calculated at 16:15 London time and disseminated shortly afterwards. It will be derived from the volume weighted average of the prices of all transactions during the minute before 16:15 London time, provided that five or more trades are transacted within this period. If there is insufficient trade data available for a specific day, the DSP will be established using a Fair Value model. In the event that a price cannot be determined, the Exchange will determine the DSP in accordance with the Rules of CurveGlobal Markets.
Daily Cash Settlement One Bank day after the Trade Day / calculation of Daily Settlement Price for cash movements of Daily Settlement Amounts.
Accrual Period The contract month’s IMM date to the day before the next IMM date. (e.g. Dec Contract accrual will start from Dec IMM to Mar IMM – 1 day).
Exchange Delivery Settlement Price (EDSP) CurveGlobal Markets shall establish the EDSP by 11:00 London time on the publication day of the last SONIA fixing for the relevant accrual period. The EDSP is based on the compounded SONIA rate over the accrual period and will be 100 minus this rate. The compounding will be calculated to 8 decimals places during the accrual period and then rounded to 4 decimal places for the EDSP. The compounding represents the effective rate of interest achieved by reinvesting at SONIA for each day of the accrual period of the contract.
Last Trading Day Trading will cease at 08:30 London time on the standard IMM dates (3rd Wednesday of the month).

Contract Underlying Based on Three Month European Interbank Offered Rate (Euribor®). Three month unsecured term deposits on EUR 1,000,000
Type of contract Cash Settled Futures Contract with Daily Cash Settlement
Central Counterparty LCH
Trading Hours
(London Time)
Opening Auction Continuous Trading Manual Trade Reporting
(Block Trades / Basis Trades / Exchange of Future for Swap)
Electronic Trade Reporting
(Block Trades / Basis Trades / Exchange of Future for Swap)
06:30 - 07:00 07:00 - 21:00 07:00 - 20:30 07:00 - 21:00
Currency EUR, Euro, €
Quotation display 100 minus rate of interest
Tick Size and Tick Value Tick Size Tick Value
0.005 EUR 12.50
Settlement style Cash Settlement
Listing Day First Trading Day following the Last Trading Day
Contract Lifetimes and Expiration Months Twenty four quarterly delivery months of the March, June, September and December cycle, as well as four serial months, such that 28 delivery months are available for trading, with the nearest six delivery months being consecutive calendar months.
Daily Settlement Price (DSP) The DSP will be calculated at 16:15 London time and disseminated shortly afterwards. It will be derived from the volume weighted average of the prices of all transactions during the minute before 16:15 London time, provided that five or more trades are transacted within this period. If there is insufficient trade data available for an expiry month, the DSP will be established using a Fair Value model. In the event that a price cannot be determined, the Exchange will determine the DSP in accordance with the Rules of CurveGlobal Markets.
Daily Cash Settlement One Bank day after the Trade Day / calculation of Daily Settlement Price for cash movements of Daily Settlement Amounts.
Exchange Delivery Settlement Price (EDSP) The EDSP shall be established by CurveGlobal Markets based on the European Money Markets Institute (EMMI Euribor®) for 3 month Euro deposits at 11:00 Brussels time (10:00 London time) on the Expiration Day. The EDSP will be 100 minus the EMMI Euribor® rate rounded to 3 decimal places. Where the EDSP is not an exact multiple of 0.001, it will be rounded to the nearest 0.001 or, where the EDSP is an exact uneven multiple of 0.0005, to the nearest lower 0.001 (e.g. an EMMI Euribor® rate of 1.9225 becomes 1.922).
Last Trading Day Second Trading Day before 3rd Wednesday of the contract month. Trading in expiring contracts terminates at 10:00 London time on the Last Trading Day.
Contract Underlying Based on ICE Benchmark Administration Limited London Interbank Offered Rate (ICE LIBOR) rate for three-month deposit of GBP 500,000
Type of contract Cash Settled Futures Contract with Daily Cash Settlement
Central Counterparty LCH
Trading Hours
(London Time)
Opening Auction Continuous Trading Manual Trade Reporting
(Block Trades / Basis Trades / Exchange of Future for Swap)
Electronic Trade Reporting
(Block Trades / Basis Trades / Exchange of Future for Swap)
06:30 - 07:30 07:30 - 18:00 07:30 - 18:00 07:30 - 18:00
Currency GBP, British Pound, £
Quotation display 100 minus rate of interest
Tick Size and Tick Value Tick Size Tick Value
0.005 GBP 6.25
Settlement style Cash Settlement
Listing Day First Trading Day following the Last Trading Day
Contract Lifetimes and Expiration Months Twenty-four quarterly delivery months of the March, June, September and December cycle, as well as two serial months, such that 26 delivery months are available for trading, with the nearest three delivery months being consecutive calendar months
Daily Settlement Price (DSP) The DSP will be calculated at 16:15 London time and disseminated shortly afterwards. It will be derived from the volume weighted average of the prices of all transactions during the minute before 16:15 London time, provided that five or more trades are transacted within this period. If there is insufficient trade data available for an expiry month, the DSP will be established using a Fair Value model. In the event that a price cannot be determined, the Exchange will determine the DSP in accordance with the Rules of CurveGlobal Markets.
Daily Cash Settlement One Bank day after the Trade Day / calculation of Daily Settlement Price for cash movements of Daily Settlement Amounts.
Exchange Delivery Settlement Price (EDSP) The EDSP shall be established by CurveGlobal Markets based on the ICE Benchmark Administration London Interbank Offered Rate (ICE LIBOR) for 3-month Sterling deposits at 11:00 London time on the Expiration Day. The EDSP will be 100 minus the ICE LIBOR rate rounded to 3 decimal places. Where the EDSP is not an exact multiple of 0.001, it will be rounded to the nearest 0.001 or, where the EDSP is an exact uneven multiple of 0.0005, to the nearest lower 0.001. (e.g. an ICE LIBOR rate of 1.7165 becomes 1.716).
Last Trading Day Trading will cease at 11:00 London time on the standard IMM dates (3rd Wednesday of the month).
  • The “SONIA” mark is used under licence from the Bank of England (the benchmark administrator of SONIA), and the use of such mark does not imply or express any approval or endorsement by the Bank of England.  “Bank of England” and “SONIA” are registered trade marks of the Bank of England.
  • ICE LIBOR is a trade mark of ICE Benchmark Administration.
  • EURIBOR is compiled and calculated on behalf of EMMI.

Medium and Long Term Interest Rate (LTIR) Futures

Contract Underlying EUR 100,000 nominal value notional Schatz with 6% coupon
Type of contract Physically settled Futures Contracts with Daily Cash Settlement
Central Counterparty LCH
Trading Hours
(London Time)
Opening Auction Continuous Trading Manual Trade Reporting
(Block Trades / Basis Trades / Exchange of Future for Swap)
Electronic Trade Reporting
(Block Trades / Basis Trades / Exchange of Future for Swap)
06:30 - 07:00 07:00 - 21:00 07:00 - 20:30 07:00 - 21:00
Currency EUR, Euro,€
Quotation display Percentage of par value
Tick Size and Tick Value Tick Size Tick Value
0.0025 EUR 2.50
Settlement style Physical Settlement. Delivery of a bond selected from the basket of approved deliverable bonds of the Federal Republic of Germany as published by CurveGlobal Markets.
Deliverable Bond Standards Deliverable Bonds will have the following characteristics: be Debt Securities issued by the Federal Republic of Germany; have an original term of no longer than 11 years; have a remaining period to redemption at delivery within the maturity range 1¾ - 2¼ years; have any coupon range; bear interest at a single fixed rate; have no terms permitting or requiring early redemption; have both principal and interest denominated in Euros; not be callable; and have an aggregate principle amount outstanding of not less than €5 billion. Deliverable bonds should satisfy the above standards and be identified as deliverable by CurveGlobal Markets not less than ten Trading Days prior to the Delivery Date.
Listing Day First Trading Day following the Last Trading Day
Contract Lifetimes and Expiration Months The three nearest quarterly months of the March, June, September and December cycle.
Daily Settlement Price (DSP) The DSP will be calculated at 16:15 London time and disseminated shortly afterwards. It will be derived from the volume weighted average of the prices of all transactions during the minute before 16:15 London time, provided that five or more trades are transacted within this period. If there is insufficient trade data available for an expiry month, the DSP will be established using a Fair Value model. In the event that a price cannot be determined, the Exchange will determine the DSP in accordance with the Rules of CurveGlobal Markets.
Daily Cash Settlement One Bank day after the Trade Day / calculation of Daily Settlement Price for cash movements of Daily Settlement Amounts.
Exchange Delivery Settlement Price (EDSP) The EDSP is established on the Last Trading Day at 11:30 London time based on the volume weighted average price of all trades during the final five minutes of trading provided that more than five trades occurred during this time, otherwise the volume weighted average price of the last five trades of the day, provided that these are not older than 60 minutes. If there is insufficient trading data available, the EDSP will be established using a Fair Value model. In the event that a price cannot be determined, the Exchange will determine the EDSP in accordance with the rules of CurveGlobal Markets.
Delivery Day The tenth calendar day of the respective quarterly month, if this day is a Trading Day; otherwise, the Trading Day immediately succeeding that day.
Last Trading Day Two Trading Days prior to the Delivery Day of the relevant delivery month. Trading will cease at 11:30 London time.
Contract Underlying EUR 100,000 nominal value notional Bobl with 6% coupon
Type of contract Physically settled Futures Contracts with Daily Cash Settlement
Central Counterparty LCH
Trading Hours
(London Time)
Opening Auction Continuous Trading Manual Trade Reporting
(Block Trades / Basis Trades / Exchange of Future for Swap)
Electronic Trade Reporting
(Block Trades / Basis Trades / Exchange of Future for Swap)
06:30 - 07:00 07:00 - 21:00 07:00 - 20:30 07:00 - 21:00
Currency EUR, Euro,€
Quotation display Percentage of par value
Tick Size and Tick Value Tick Size Tick Value
0.005 EUR 5
Settlement style Physical Settlement. Delivery of a bond selected from the basket of approved deliverable bonds of the Federal Republic of Germany as published by CurveGlobal Markets.
Deliverable Bond Standards Deliverable Bonds will have the following characteristics: be Debt Securities issued by the Federal Republic of Germany; have an original term of no longer than 11 years; have a remaining period to redemption at delivery within the maturity range 4½ - 5½ years; have any coupon range; bear interest at a single fixed rate; have no terms permitting or requiring early redemption; have both principal and interest denominated in Euros; not be callable; and have an aggregate principle amount outstanding of not less than €5 billion. Deliverable bonds should satisfy the above standards and be identified as deliverable by CurveGlobal Markets not less than ten Trading Days prior to the Delivery Date.
Listing Day First Trading Day following the Last Trading Day
Contract Lifetimes and Expiration Months The three nearest quarterly months of the March, June, September and December cycle.
Daily Settlement Price (DSP) The DSP will be calculated at 16:15 London time and disseminated shortly afterwards. It will be derived from the volume weighted average of the prices of all transactions during the minute before 16:15 London time, provided that five or more trades are transacted within this period. If there is insufficient trade data available for an expiry month, the DSP will be established using a Fair Value model. In the event that a price cannot be determined, the Exchange will determine the DSP in accordance with the Rules of CurveGlobal Markets.
Daily Cash Settlement One Bank day after the Trade Day / calculation of Daily Settlement Price for cash movements of Daily Settlement Amounts.
Exchange Delivery Settlement Price (EDSP) The EDSP is established on the Last Trading Day at 11:30 London time based on the volume weighted average price of all trades during the final five minutes of trading provided that more than five trades occurred during this time, otherwise the volume weighted average price of the last five trades of the day, provided that these are not older than 60 minutes. If there is insufficient trading data available, the EDSP will be established using a Fair Value model. In the event that a price cannot be determined, the Exchange will determine the EDSP in accordance with the rules of CurveGlobal Markets.
Delivery Day The tenth calendar day of the respective quarterly month, if this day is a Trading Day; otherwise, the Trading Day immediately succeeding that day.
Last Trading Day Two Trading Days prior to the Delivery Day of the relevant delivery month. Trading will cease at 11:30 London time.
Contract Underlying EUR 100,000 nominal value notional Bund with 6% coupon
Type of contract Physically settled Futures Contracts with Daily Cash Settlement
Central Counterparty LCH
Trading Hours
(London Time)
Opening Auction Continuous Trading Manual Trade Reporting
(Block Trades / Basis Trades / Exchange of Future for Swap)
Electronic Trade Reporting
(Block Trades / Basis Trades / Exchange of Future for Swap)
06:30 - 07:00 07:00 - 21:00 07:00 - 20:30 07:00 - 21:00
Currency EUR, Euro,€
Quotation display Percentage of par value
Tick Size and Tick Value Tick Size Tick Value
0.005 EUR 5
Settlement style Physical Settlement. Delivery of a bond selected from the basket of approved deliverable bonds of the Federal Republic of Germany as published by CurveGlobal Markets.
Deliverable Bond Standards Deliverable Bonds will have the following characteristics: be Debt Securities issued by the Federal Republic of Germany; have an original term of no longer than 11 years; have a remaining period to redemption at delivery within the maturity range 8½ - 10½ years; have any coupon range; bear interest at a single fixed rate; have no terms permitting or requiring early redemption; have both principal and interest denominated in Euros; not be callable; and have an aggregate principle amount outstanding of not less than €5 billion. Deliverable bonds should satisfy the above standards and be identified as deliverable by CurveGlobal Markets not less than ten Trading Days prior to the Delivery Date.
Listing Day First Trading Day following the Last Trading Day
Contract Lifetimes and Expiration Months The three nearest quarterly months of the March, June, September and December cycle.
Daily Settlement Price (DSP) The DSP will be calculated at 16:15 London time and disseminated shortly afterwards. It will be derived from the volume weighted average of the prices of all transactions during the minute before 16:15 London time, provided that five or more trades are transacted within this period. If there is insufficient trade data available for an expiry month, the DSP will be established using a Fair Value model. In the event that a price cannot be determined, the Exchange will determine the DSP in accordance with the Rules of CurveGlobal Markets.
Daily Cash Settlement One Bank day after the Trade Day / calculation of Daily Settlement Price for cash movements of Daily Settlement Amounts.
Exchange Delivery Settlement Price (EDSP) The EDSP is established on the Last Trading Day at 11:30 London time based on the volume weighted average price of all trades during the final five minutes of trading provided that more than five trades occurred during this time, otherwise the volume weighted average price of the last five trades of the day, provided that these are not older than 60 minutes. If there is insufficient trading data available, the EDSP will be established using a Fair Value model. In the event that a price cannot be determined, the Exchange will determine the EDSP in accordance with the rules of CurveGlobal Markets.
Delivery Day The tenth calendar day of the respective quarterly month, if this day is a Trading Day; otherwise, the Trading Day immediately succeeding that day.
Last Trading Day Two Trading Days prior to the Delivery Day of the relevant delivery month. Trading will cease at 11:30 London time.
Contract Underlying GBP 100,000 nominal value notional Gilt with 4% coupon
Type of contract Physically settled Futures Contracts with Daily Cash Settlement
Central Counterparty LCH
Trading Hours
(London Time)
Opening Auction Continuous Trading Manual Trade Reporting
(Block Trades / Basis Trades / Exchange of Future for Swap)
Electronic Trade Reporting
(Block Trades / Basis Trades / Exchange of Future for Swap)
06:30 - 08:00 08:00 - 18:00 08:00 - 18:00 08:00 - 18:00
Currency GBP, British Pound, £
Quotation display Percentage of par value
Tick Size and Tick Value Tick Size Tick Value
0.005 GBP 5
First Notice Day Two Trading Days prior to the first calendar day of the delivery month.
Last Notice Day First Trading Day after the Last Trading Day.
Settlement style Physical Settlement. Delivery of a bond selected from the basket of approved deliverable Gilts as published by CurveGlobal Markets.
Deliverable Bond Standards Deliverable Bonds will have the following characteristics: be issued by the UK Debt Management Office for HM Treasury in the United Kingdom; have a remaining period to redemption at delivery within the maturity range 8¾ - 13 years; provide for semi-annual coupon payments; pay a fixed rate coupon in the range 1% - 7%; have no terms permitting or requiring early redemption; have both principal and interest denominated in GBP; not be in convertible or bearer form; be fully paid on or prior to the Last Notice Day for the Delivery Month; and have an aggregate principle amount outstanding of not less than £1.5 billion which shall be fungible. Deliverable bonds should satisfy the above standards and be identified as deliverable by CurveGlobal Markets not less than ten Trading Days prior to the First Notice Day of the Delivery Month.
Listing Day First Trading Day following the Last Trading Day
Contract Lifetimes and Expiration Months The three nearest quarterly months of the March, June, September and December cycle.
Daily Settlement Price (DSP) The DSP will be calculated at 16:15 London time and disseminated shortly afterwards. It will be derived from the volume weighted average of the prices of all transactions during the minute before 16:15 London time, provided that five or more trades are transacted within this period. If there is insufficient trade data available for an expiry month, the DSP will be established using a Fair Value model. In the event that a price cannot be determined, the Exchange will determine the DSP in accordance with the Rules of CurveGlobal Markets.
Daily Cash Settlement One Bank day after the Trade Day / calculation of Daily Settlement Price for cash movements of Daily Settlement Amounts.
Exchange Delivery Settlement Price (EDSP) The EDSP is established on the second Trading Day prior to the Delivery Day at 11:00 London time based on the volume weighted average price of all trades during the final five minutes of trading provided that more than five trades occurred during this time, otherwise the volume weighted average price of the last five trades of the day, provided that these are not older than 60 minutes. If there is insufficient trading data available, the EDSP will be established using a Fair Value model. In the event that a price cannot be determined, the exchange will determine the EDSP in accordance with the Rules of CurveGlobal Markets.
Delivery Day Any Trading Day in delivery month (at seller’s choice).
Last Trading Day Two Trading Days prior to the last Delivery Day in the delivery month. On the Last Trading Day, trading in the front delivery month will cease at 11:00 London time.

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