NYSE Euronext Swapnote

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NYSE Euronext's Swapnote futures are part of the Liffe group of products. They are notional bond contracts referenced to the swap market. They are priced like a bond with a fixed maturity and 6 percent coupon.

The main Swapnote contracts (exclusive to Liffe) by volume are:

Five-Year € Swapnote® Fut. LON O 710 9,194 Ten-Year € Swapnote® Fut. LON P 903 2,515 Two-Year € Swapnote® Fut. LON TWS 2,311 30,615

The contract is referenced to the ISDA (International Swaps and Derivatives Association) benchmark Euribor swap rate fixings, providing exposure to the Euro denominate swap rates, and is designed to accurately track the Euro swap yield curve.[1]

References

  1. Swapnote. NYSE Euronext.