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Description

ICE Riksbank SWESTR Index Futures is a cash settled future based on the interest rate accrued over an Riksbank Monetary Policy meeting period.

Market Specifications

Trading Screen Product Name

Riksbank Dated SWESTR Futures

Trading Screen Hub Name

ICEU

Contract Symbol

RKS

Underlying Index

SWESTR

Delivery Month

Consecutive delivery months, each covering a Riksbank policy rate (Effective Rate) date period. .
A maximum of up to twelve delivery months may be available for trading.

Contract Size

SEK 10,000,000

Currency

SEK

Unit of Trading

SEK 25,000 * Rate Index

Quotation

100.00 minus the numerical value of the rate of interest

Contract

SEK 25,000

Minimum Price Fluctuation

0.00250 (SEK 62.50)

Last Trading Day

One business day prior to the Wednesday of the week following the announcement of the Riksbank policy rate, or if that Wednesday is not a good business day, the next following good Wednesday, trading will cease at 18:00 (London local time)
Contract Delivery Months are named by the start date of the Riksbank Policy Rate effective period (the Accrual Period).

First Underlying Accrual Day

Riksbank policy rate effective date

Last Accrual Date

One business day before the next Riksbank policy rate effective date

Exchange Delivery Settlement Price

100 minus the EDSP Rate.
Publication: LTD+1
Based on SWESTR as calculated by the Benchmark Administrator for each business day, the EDSP Rate represents the effective rate of interest achieved by reinvesting at SWESTR for each day of the contract’s accrual period.
For the purpose of computing the EDSP, the SWESTR rate published on the business day immediately preceding the last business day of the year will apply to the last business day of the year, with the day-count weighting (dᵢ) for the applied rate spanning from that preceding business day to the first business day of the following year.

Trading Hours

01:00 to 21:00 (LLT)

Wholesale Trade Types

Basis trading, Block Trading, Asset Allocation

Clearing

ICE Clear Europe

Contract Standard

Cash settlement based on the Exchange Delivery Settlement Price.

Disclaimer

The contracts have a standardised basis point value so that, for hedging purposes, a calculation will need to be made in relation to the hedge ratio to take into account any mismatch between the standardized basis point value and the actual basis point value of the position being hedged, determined by the actual number of days in the accrual period.

MIC Code

IFLL

Clearing Venues

ICEU

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Trading Hours

Codes