- Trading Screen Product Name
- 2Yr Sterling Swapnote
- Trading Screen Hub Name
- ICEU
- Commodity Code
GBW
- Unit of Trading
£100,000 notional principle amount with 3.0% 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
- Minimum Price Fluctuation
0.005 (£5)
- Last Trading Day
The delivery day. On the Last Trading Day, trading in the front
delivery month will cease at 11:00
- 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
Sterling fixings, and corresponding 3m and 3x3m forward rates. The
ICE Swap Rate Sterling fixings are compiled daily at 11:00 and
displayed on Reuters page “ICESWAP4”. 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 two 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 second
anniversary of the contract effective date (or, first working day
thereafter), giving each delivery month the price sensitivity of a
two year swap or, equivalently, a two 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