First of all, it must be clear that the value of each euro interest rate futures contract is 1 100 million euros. In addition, the price shown in interest rate futures is actually expressed in the form of: interest rate futures price = face value of bonds 100 yuan (the international general practice is that the face value of each bond 100 yuan MINUS last year's trading interest rate). In the case of fund settlement interest rate futures, the annualized interest rate of this transaction is to calculate the interest rate period of interest rate futures trading of related futures contracts, that is, the annualized interest rate is converted into an interest rate (or yield) before annualization. Since this contract is a three-month interest rate futures contract, it is necessary to divide the annualized interest rate of the transaction by four when clearing the transaction (three months is equivalent to 1/4 years). Then subtract the annualized interest rate from 100 to get the actual transaction settlement price, so the settlement fund of a three-month euro futures contract is =1000000 euros *[ 100-( 100- interest rate futures transaction price)/4]10.

According to the above formula, the following results can be calculated:

At the time of purchase:10 *1million euros * [100-(100-97.4)/4]/100 = 9.935 million euros.

At the time of sale:10 *1million euros * [100-(100-98.29)/4]/100 = 995725 million euros.