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Description

Deliverable futures contract on Italian Government Bonds with maturities of 2 years to 3 years and 3 months

Market Specifications

Trading Screen Product Name

Short Italian Bond (BTP) Future

Trading Screen Hub Name

ICEU

Contract Symbol

I02

Unit of Trading

€100,000 nominal value notional euro-denominated Italian Government Bond with 6% coupon

Delivery Date

10th calendar day of the respective quarterly month. If such day is not a business day, delivery shall occur on the next succeeding business day

Delivery Month

March, June, September, December, such that the nearest two delivery months are available for trading

Quotation

Per €100 nominal

Minimum Price Fluctuation

0.01 (€10)

Last Trading Day

Two business days prior to the Delivery Day of the relevant maturity month. On the Last Trading Day, trading in the front month will cease at 11:30 hours.

Exchange Delivery Settlement Price

The London market price at 11:30 hours on the Last Trading Day. The invoicing amount in respect of each Deliverable Bond is to be calculated by the price factor system

Algorithm

Central order book applies a first in first out (FIFO) matching algorithm.

Off Exchange Trade Types

Basis Trading, Block Trading.

Maturities

2 years to 3 years and 3 months

Contract Standard

Delivery may be made of any bonds on the List of Deliverable Euro-denominated Italian Government Bonds in respect of a delivery month of an Exchange Contract, as published by the Exchange. All bond issues included in the List will have the following characteristics: Having terms as to redemption that provide for redemption of the entire Euro-denominated Italian Government Bond issue in a single instalment such that the length of time to the maturity date from the Delivery Day of the relevant delivery month is within the maturity range for the relevant Exchange Contract specified by the Board in the Contract Details; Where relevant, having an original term to maturity, such that the length of time from the issue date to the maturity day of the Euro-denominated Italian Government Bond issue is within the original term for the relevant Exchange Contract specified by the Board in the Contract Details; Having no terms permitting or requiring early redemption; Bearing interest at a single fixed rate throughout the term of the issue payable in arrears semi-annually (except in the case of the first interest payment period which may be more or less than half a year); Being denominated and payable as to principal and interest only in Euro and Eurocents; Not being callable ; and Having an aggregate principal amount outstanding of not less than €5 billion which, by its terms and conditions, if issued in more than one tranche or tap or issue, is fungible.

Additional Information

Potential users of the European Government Bond Futures Contracts should familiarize themselves with the relevant Contract Terms and Administrative Procedures. Potential users should consider the risks of holding a position until the Last Trading Day of a Contract wherein they shall be buyers or sellers in the delivery process. In particular, they should familiarize themselves with the use of Price Factors and the EDSP price formation process as these are both constituents of the formula for the calculation of the invoicing amount.

NOTE: All times are London, unless otherwise stated

MIC Code

IFLL

Clearing Venues

ICEU

Related Products

• Long Gilt Future
• Options On Long Gilt Future
• Long EU Bond Index Future
• Medium Gilt Future

Trading Hours

Codes