Liffe’s Euro Swapnote® futures contract are a notional bond contract referenced to the swap market. Only available on Liffe, the contracts are priced like a bond (with a fixed maturity and a 6% coupon), but with the same yield structure as the Euro swap yield curve. This unique contract design offers greater efficiency when hedging swap risk than offered with traditional government bond contracts, which are referenced to individual government interest rate yields.

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