Difference between revisions of "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.
[[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:
The main Swapnote contracts (exclusive to Liffe) by volume are:
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Two-Year € Swapnote® Fut.  LON TWS 2,311 30,615  
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. Whereas the spread between the Euro swap rates and some traditional bond futures can widen considerably, thereby presenting a greater risk.
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.  
 
   
   
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Revision as of 18:28, 2 February 2009


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.


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References[edit]


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