To align with the benchmark RFR market convention, Eurex will launch new SARON futures that mirror exactly the existing offering but with a new contract naming convention. The new 3M SARON® Futures will eventually fully replace the current Three-Month SARON® Futures
Simulation start: 22 July 2021
Production start: 27 September 2021
Items/ Participants Requirements
3M SARON Futures re-launch with new naming convention
The new contracts are identical to the existing Three-Month SARON® Futures (FSO3) but with the only difference of applying a new contract naming convention whereby contracts are named according to the quarter start-month.
Trading in the existing contracts (FSO3) will be halted effective date September 15 2021, once the September 2021 contract expires (all expiries beyond September 2021 have already been de-activated) and the Three-Month SARON® Futures (FSO3) will be de-listed at a later stage.
Please note the new naming convention and that the product code FSO3 had been changed to FSR3.
Trading Members are asked to update their internal systems and to participate in the simulation.
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