TEN-YEAR € SWAPNOTE® FUTURE

TEN-YEAR € SWAPNOTE® FUTURE37612667

Description

Swapnote® is a notional bond future with a fixed notional coupon that references the ICE Swap Rate curve as opposed to the Sovereign issuer curve. 10 Year Euro Swapnote® allows users to gain exposure to the 10 year Euro par swap rate.

Market Specifications

Trading Screen Product Name
10Yr Euro Swapnote Future
Trading Screen Hub Name
ICEU
Commodity Code
P
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
Quotation
Per €100 nominal value
Minimum Price Fluctuation
0.01 (€10)
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)
Algorithm
Central order book applies a first in first out (FIFO) matching algorithm.
Block Trades
Basis Trading, Block Trading.
Maturities
Notional principal amount due ten 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 tenth anniversary of the contract delivery day (or, first working day thereafter), giving each delivery month the price sensitivity of a ten year swap or, equivalently, a ten year bond priced off and correlated with the swap curve.
Other Information
NOTE: All times are London, unless otherwise stated
MIC Code
IFLL
Clearing Venues
ICEU