Let's now take a look at UIO Futures, one of the most established stir futures contracts with nearly 30 years of trading history behind them.

Like all futures contracts, UIO futures are standardized where the key contract features are defined by the exchange that the contracts trade on first.

The underlying your IO futures reference three month your eye O.

There are no six month IO futures contracts.

So if investors want to hedge a single six month euro IO fixing RAs are their only option.

Your eyeball futures can't provide a clean hedge for that exposure.

The underlying rate is three month IO for the period starting on the third Wednesday of the contract month.

So if we are looking at the December, 2025 contract, the relevant three month IOR is the one covering the period starting Wednesday, the 17th of December, 2025.

You might notice the contract expires on Monday the 15th of December, 2025.

Why not on the 17th? That's because your rib O is fixed on a T plus two basis.

So the fixing on 15th of December actually determines the rate for the period beginning 17th of December.

And once the fixing is known, there's no more uncertainty.

The futures contract has done its job and no longer needs to trade.

Now let's talk about the contract size.

It's defined as two and 5,000 euros multiplied by the contract price.

So for example, if the December, 2025 euro IO future is trading at 98.06, the notional contract value is two and a half thousand euros times 98.06, which gives us 245,150 Euros.

Just to be clear, this is not the amount you'd have to deliver when trading the future.

It's just a way of scaling the contract to determine how much your p and l will change with movements in interest rates.

Let's move on to have a look at a quick p and l exercise based on your IO futures.

Take a look at the example on screen.

We're using the Z 25 IO future.

That's the December, 2025 contract, which traded at 98.06 at the time the screenshot was taken and we're given three simple questions.

One, what is the implied forward rate for three month arrival O in December, 2025? Well, futures are quoted as 100 Minus the forward rate.

This contract is trading at 98.06, so the implied forward rate is 100 minus 98.06, which is 1.94%.

That's the forward rate implied by the current futures price for three month. Your IBOR starting in mid-December 2025.

Second question is if the DVO one per contract is 25 euros, what is your position? DVO one, if you are long, 500 contracts.

This one is just a multiplication that's 25 euros times 500 contracts, which gives us 12 and 5,000 euros.

So the portfolio DVO one is 12 and five euros.

That means for every one basis point move in the implied rate, your position's value changes by 12 and half thousand euros.

The third question is, if the future's price moves from 98.06 to 98.24, what's your p and l? That's a price move of 0.18 or 18 basis points.

And since you're long and the price went up, you are making money.

We multiply the move by the DVO one 18 basis points times 12 and 5,000 euros gives us 225,000 euros.

You can also think of it in ticks. Each tick is 0.005.

So 0.18 divided by 0.005 is 36 ticks and 36 ticks times 12.5 euros times 500 contracts is 225,000 euros.

Either way, same result and a tidy gain from being long as the market rallied.