ICE Five-Year $ Swapnote® Future

Swapnote® is a notional bond future with a fixed notional coupon that references the ICE Swap Rate curve as opposed to the Sovereign issuer curve. 5 Year U.S. Dollar Swapnote® allows users to gain exposure to the 5 year U.S. Dollar par swap rate.
== Contract Specs ==
Five-Year $ Swapnote® Future 	Five-Year $ Swapnote® Future 	Five-Year $ Swapnote® Future 	Five-Year $ Swapnote® Future
Trading Screen Product Name 	5yr US Dollar Swapnote Future 	5yr US Dollar Swapnote Future 	5yr US Dollar Swapnote Future
Trading Screen Hub Name 	ICEU 	ICEU 	ICEU
Contract Symbol 	USO 	USO 	USO
Unit of Trading 	$100 000 notional principal amount
Notional Fixed Rate 6.0% 	$100 000 notional principal amount
Notional Fixed Rate 6.0% 	$100 000 notional principal amount
Notional Fixed Rate 6.0%
Delivery Date 	Third Wednesday of the delivery month. 	Third Wednesday of the delivery month. 	Third Wednesday of the delivery month.
Delivery Months 	March, June, September and December such that the nearest two delivery months are always available for trading 	March, June, September and December such that the nearest two delivery months are always available for trading 	March, June, September and December such that the nearest two delivery months are always available for trading
Quotation 	Per $100 nominal value. 	Per $100 nominal value. 	Per $100 nominal value.
Minimum Price Fluctuation 	0.01 ($10) 	0.01 ($10) 	0.01 ($10)
Last Trading Day 	Two business days prior to the delivery day. On the Last Trading Day, trading in the front delivery month will cease at 11:00 New York time 	Two business days prior to the delivery day. On the Last Trading Day, trading in the front delivery month will cease at 11:00 New York time 	Two business days prior to the delivery day. On the Last Trading Day, trading in the front delivery month will cease at 11:00 New York time
Exchange Delivery Settlement Price	The EDSP is the present value, as of the delivery day at 11:00, of the notional principle amount and the notional coupons. The discounting of the cash flows is performed using discount factors constructed on the Last Trading Day, from the ICE Swap Rate Dollar fixings, and corresponding 3m and 3x3m forward rates. The ICE Swap Rate Dollar fixings are compiled daily at 11:00 and displayed on Reuters page “ICESWAP1”. Where the EDSP is not an exact multiple of 0.01, it will be rounded to the nearest 0.01, or where the EDSP is an exact uneven multiple of 0.005, to the nearest higher 0.01 (e.g. an EDSP of 134.7245 becomes 134.72)	The EDSP is the present value, as of the delivery day at 11:00, of the notional principle amount and the notional coupons. The discounting of the cash flows is performed using discount factors constructed on the Last Trading Day, from the ICE Swap Rate Dollar fixings, and corresponding 3m and 3x3m forward rates. The ICE Swap Rate Dollar fixings are compiled daily at 11:00 and displayed on Reuters page “ICESWAP1”. Where the EDSP is not an exact multiple of 0.01, it will be rounded to the nearest 0.01, or where the EDSP is an exact uneven multiple of 0.005, to the nearest higher 0.01 (e.g. an EDSP of 134.7245 becomes 134.72)	The EDSP is the present value, as of the delivery day at 11:00, of the notional principle amount and the notional coupons. The discounting of the cash flows is performed using discount factors constructed on the Last Trading Day, from the ICE Swap Rate Dollar fixings, and corresponding 3m and 3x3m forward rates. The ICE Swap Rate Dollar fixings are compiled daily at 11:00 and displayed on Reuters page “ICESWAP1”. Where the EDSP is not an exact multiple of 0.01, it will be rounded to the nearest 0.01, or where the EDSP is an exact uneven multiple of 0.005, to the nearest higher 0.01 (e.g. an EDSP of 134.7245 becomes 134.72)
Algorithm 	Central order book applies a first in first out (FIFO) matching algorithm. 	Central order book applies a first in first out (FIFO) matching algorithm. 	Central order book applies a first in first out (FIFO) matching algorithm.
Off Exchange Trade Types 	Basis Trading, Block Trading. 	Basis Trading, Block Trading. 	Basis Trading, Block Trading.
Maturities 	Notional principal amount due five years from the delivery day 	Notional principal amount due five years from the delivery day 	Notional principal amount due five years from the delivery day
Contract Standard 	Cash settlement based on the Exchange Delivery Settlement Price. Unless otherwise indicated, all times are London times. 	Cash settlement based on the Exchange Delivery Settlement Price. Unless otherwise indicated, all times are London times. 	Cash settlement based on the Exchange Delivery Settlement Price. Unless otherwise indicated, all times are London times.
Notional Series of Cashflows 	The underlying notional cash flows consist of a series of fixed notional coupons and a notional principal at maturity, calculated semi-annually from the effective date. Should such a date fall on a non-working day, the notional cash flow date will be the next working day, following the modified business day convention. The notional principal amount always falls on the fifth anniversary of the contract effective date (or, first working day thereafter), giving each delivery month the price sensitivity of a five year swap or, equivalently, a five year bond priced off and correlated with the swap curve. 	The underlying notional cash flows consist of a series of fixed notional coupons and a notional principal at maturity, calculated semi-annually from the effective date. Should such a date fall on a non-working day, the notional cash flow date will be the next working day, following the modified business day convention. The notional principal amount always falls on the fifth anniversary of the contract effective date (or, first working day thereafter), giving each delivery month the price sensitivity of a five year swap or, equivalently, a five year bond priced off and correlated with the swap curve. 	The underlying notional cash flows consist of a series of fixed notional coupons and a notional principal at maturity, calculated semi-annually from the effective date. Should such a date fall on a non-working day, the notional cash flow date will be the next working day, following the modified business day convention. The notional principal amount always falls on the fifth anniversary of the contract effective date (or, first working day thereafter), giving each delivery month the price sensitivity of a five year swap or, equivalently, a five year bond priced off and correlated with the swap curve.
Additional Information 	NOTE: All times are London, unless otherwise stated 	NOTE: All times are London, unless otherwise stated 	NOTE: All times are London, unless otherwise stated
MIC Code 	IFLL 	IFLL 	IFLL
Clearing Venues 	ICEU 	ICEU 	ICEU
Trading Hours 	CITY 	TRADING 	PRE-OPEN
Trading Hours 	NEW YORK 	2:00 AM - 3:00 PM
02:00 - 15:00 	1:03 AM
01:03
Trading Hours 	LONDON 	7:00 AM - 8:00 PM
07:00 - 20:00 	6:03 AM
06:03
Trading Hours 	SINGAPORE 	2:00 PM - 3:00 AM
14:00 - 03:00 	1:03 PM
13:03
Codes 	Clearing Admin Name 	Swapnote USD 	Swapnote USD
Codes 	Physical 	USO 	USO
Codes 	Logical 	USO 	USO
Codes 	GMI (FC) 	None 	None
Codes 	ION A.C.N. 	None 	None
== Notes ==
== References ==
== Resources ==
Category:Sponsored Pages
Category:Sponsored Pages - ICE
Category:Reserved Pages
Category:Reserved Pages - ICE
Category:Futures Contracts Traded on ICE
Category:Futures Data in Template
Category:Interest Rates