Eurex Bond Futures Daily Settlement Timing and Calculation

Summary

The document gives the usual daily settlement procedure and publication timing for Eurex bond futures, including Bund and Buxl contracts. On ordinary trading days, the settlement is based on the volume-weighted average of transactions during the final minute of the stated settlement window. Prices are typically disseminated through market data channels shortly afterward.

It also describes an expiry-day exception: the expiring contract stops trading earlier, and its settlement is calculated at that time rather than during the normal end-of-day window. These timings are stated in Central European Time, while the question asks for British Summer Time, so a user would need to convert for the relevant date and account for seasonal clock changes. The answer reflects the exchange procedure described in the source and does not establish current schedules for every contract or market-data vendor.

Key ideas

• Normal-day Eurex bond-futures settlement uses a volume-weighted average over a short end-of-day window.
• Settlement prices are generally disseminated shortly after the calculation window.
• The expiring contract follows an earlier settlement procedure on its final trading day.
• The stated times use Central European Time and must be converted for British Summer Time.

Tags

# At what time (BST) are interest rate futures settled daily on Eurex Exchange?


# At what time (BST) are interest rate futures settled daily on Eurex Exchange?












ie, what is the earliest time can I expect to see settle prices for all interest rate futures (ie, BUXL future, GILT future) on Eurex exchange? Is it 15:00 local time just like it is on CME ?

## Answer by Alex C (score 1)

https://quant.stackexchange.com/a/39321

On normal days the settlement time for bond futures such as Bund, Buxl, etc. on the Eurex Exchange is 17:15 CET (Central European Time). The settlement is calculated from the volume-weighted average of all transactions between 17:14 and 17:15. [Source: www.eurexchange.com]. Generally within a few minutes (in my experience between 17:15 and 17:20) the settlement price is disseminated through the usual channels, such as Reuters, Bloomberg etc.

An exception occurs on the last day of trading for a particular maturity. On such a day (which occurs once a quarter) the expiring future stops trading at 12:30 CET, and the settlement is calculated at that time.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.