THIRTY YEAR £ SWAPNOTE® FUTURE37612680
ICE Futures Europe
THIRTY YEAR £ 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. 30 Year SONIA Swapnote allows users to gain exposure to the 30 year SONIA par swap rate.
Market Specifications
- Trading Screen Product Name
- 30Yr GBP SONIA Swapnote
- Trading Screen Hub Name
- ICEU
- Contract Symbol
- GB3
- Unit of Trading
- £100,000 notional principle amount with 4.0% notional fixed rate
- 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
- Minimum Price Fluctuation
- 0.02 (£20)
- 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 SONIA fixings. The ICE Swap Rate SONIA fixings are compiled daily at 11:00 and 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 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 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
Trading Hours
| City | Trading | Pre-Open |
|---|---|---|
| NEW YORK | 2:30 AM - 1:00 PM 02:30 - 13:00 | 1:03 AM 01:03 |
| LONDON | 7:30 AM - 6:00 PM 07:30 - 18:00 | 6:03 AM 06:03 |
| SINGAPORE | 3:30 PM - 2:00 AM* 15:30 - 02:00 | 2:03 PM 14:03 |
Codes
- Clearing Admin Name
- Swapnote GBP
- Physical
- GB3
- Logical
- GB3
- GMI (FC)
- ION A.C.N.
- Symbol Code
- GB3