- 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