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Swapnote®

 
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.


Main contracts by volume
25/07/08
Name Market Code Vol. O.I.
Five-Year € Swapnote® Fut. LON O 69 12,499
Ten-Year € Swapnote® Fut. LON P 6 7,243
Two-Year € Swapnote® Fut. LON TWS 715 28,301

Note Date for volume is current trading day. Date for open interest is current trading day -1

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.

Our € Swapnote® contract suite comprises of the two, five and ten year contracts, as well as option on each of these to allow for extensive coverage of the euro swap yield curve. All contracts are cash settled eliminating the need to take delivery of the underlying bond.

Our Swapnote® contracts are complemented by our Short Term Interest Rate (STIR) portfolio of futures and options contracts, which, for example, provide liquidity at the shorter end of the Euro yield curve with out Euribor and Eonia contracts.

New developments
Extension of designated market maker (DMM) scheme - Liffe has extended the DMM scheme for its € Swapnote® futures contracts to 31 March 2008. Please see General Notice No. 2968 for further details.

Current trading performance

  Q4 2007 Average daily volume
   
Two Year € Swapnote® futures contract:       
679
Five Year € Swapnote® futures contract:
2,274
Ten Year € Swapnote® futures contract:
1,317

Liffe's interest rate portfolio
Our Swapnote® derivative contracts form part of Liffe’s interest rate portfolio, which also encompasses STIRs and bond futures and options contracts covering the key European, American and Japanese benchmarks. Together, they represent the broadest range of interest rate contracts offered by any derivative exchange.

All of these contracts are traded on LIFFE CONNECT® with central margining and clearing provided by LCH.Clearnet Ltd. Our customers can trade these products on one electronic trading platform, using one set of trading rules and one clearing house. Together with competitive fees this makes trading Liffe’s interest rate portfolio simple, efficient and cost effective.

Find out more
For further information on Liffe’s Swapnote® contracts, please contact either your Account Manager, or Liffe’s Interest Rate Derivatives team on:

Tel: +44 (0) 20 7379 2222
Email: Swapnote@liffe.com