- Trading Screen Product Name
- 5Yr Euro Swapnote Future
- Trading Screen Hub Name
- Commodity Code
- Unit of Trading
100 000 notional principal amount with 6.0% notional fixed rate.
- Delivery Date
Third Wednesday of the delivery month.
- Delivery Months
March, June, September and December such that the nearest two
delivery months are always available for trading
Per €100 nominal value
- Minimum Price Fluctuation
- Last Trading Day
Two business days prior to the delivery day. On the Last Trading
Day, trading in the front delivery month will cease at 10:00.
- Exchange Delivery Settlement Price
The EDSP is the present value, as of the delivery day at 11:00, of
the notional principle amount and the notional coupons. The
discounting of the cash flows is performed using discount factors
constructed on the Last Trading Day, from the ICE Swap Rate Euro
fixings, and corresponding 3m and 3x3m forward rates. The ICE Swap
Rate Euro fixings are compiled daily at 11:00 and displayed on
Reuters page “ICESWAP2”. Where the EDSP is not an exact
multiple of 0.01, it will be rounded to the nearest 0.01, or where
the EDSP is an exact uneven multiple of 0.005, to the nearest
higher 0.01 (e.g. an EDSP of 134.7245 becomes 134.72)
Central order book applies a first in first out (FIFO) matching
- Block Trades
Basis Trading, Block Trading.
Notional principal amount due five years from the delivery day
- Contract Standard
Cash settlement based on the Exchange Delivery Settlement Price.
Unless otherwise indicated, all times are London times.
- Notional Series of Cashflows
The underlying notional cash flows consist of a series of fixed
notional coupons and a notional principal at maturity, the dates of
which fall on anniversaries of the delivery day. Should an
anniversary of a delivery day fall on a non-working day, the
notional cash flow date will be the next working day, following the
modified business day convention. The notional principal amount
always falls on the fifth anniversary of the contract delivery day
(or, first working day thereafter), giving each delivery month the
price sensitivity of a five year swap or, equivalently, a five year
bond priced off and correlated with the swap curve.
- Other Information
NOTE: All times are London, unless otherwise stated
- MIC Code
- Clearing Venues