- Trading Screen Product Name
- 30Yr US Dollar Swapnote
- Trading Screen Hub Name
- ICEU
- Commodity Code
US3
- Unit of Trading
$100,000 notional principle 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
0.02 ($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 Dollar
fixings, and corresponding 3m and 3x3m forward rates. The ICE Swap
Rate Dollar fixings are compiled daily at 11:00 and displayed on
Reuters page “ICESWAP1”. 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 thirty 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 thirtieth
anniversary of the contract effective date (or, first working day
thereafter), giving each delivery month the price sensitivity of a
thirty year swap or, equivalently, a thirty 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