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ICE Futures Europe

Ten-Year SOFR Swapnote Future

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 SOFR Swapnote allows users to gain exposure to the 10-year USD SOFR par swap rate.

Market Specifications

Trading Screen Product Name
10yr SOFR Swapnote Future
Trading Screen Hub Name
ICEU
Contract Symbol
USP
Unit of Trading
$100 000 notional principal amount
Notional Fixed Rate 3%
Delivery Date
Third Wednesday of the delivery month.
Delivery Month
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
0.02 ($20)
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 11:00 New York time
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 SOFR 1100 fixings. The ICE Swap Rate SOFR 1100 fixings are compiled daily at 11:00 and are published by ICE Benchmark Administration. 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.
Off Exchange Trade Types
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, calculated semi-annually from the effective date. Should such a date 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 effective date (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
Additional Information
NOTE: All times are London, unless otherwise stated
MIC Code
IFLL
Clearing Venues
ICEU

Trading Hours

CityTradingPre-Open
New York2:00 AM - 3:00 PM
02:00 - 15:00
1:03 AM
01:03
London6:00 AM - 7:00 PM
06:00 - 19:00
5:03 AM
05:03
Singapore2:00 PM - 3:00 AM
14:00 - 03:00
1:03 PM
13:03

Codes

Clearing Admin Name
Swapnote USD
Physical
USP
Logical
USP
GMI (FC)
ION A.C.N.
Symbol Code
USP