$ Swapnote® futures will bring the same opportunities and advantages to the dollar denominated swap and US fixed income markets, that the groundbreaking € Swapnote® contracts have brought to the European markets. Euronext.liffe's $ Swapnote® futures are based on an innovative contract design that creates a standardized exchange-traded swap futures contract with the price sensitivity of an interest rate swap. Therefore, $ Swapnote® futures will reflect actual price changes in the over-the-counter (OTC) market for plain vanilla swaps more closely than any other dollar swap futures contract, thereby providing an exceptionally precise risk management and investment vehicle.
$ Swapnote® futures will be launched on Tuesday, July 30 2002, trading on the world's leading electronic derivatives trading platform, LIFFE CONNECT™, with the committed support of Bank of New York through its strategic relationship with Susquehanna Trading, as the exclusive market-maker. The Bank of New York will act as the exclusive market-maker for five and ten-year $ Swapnote® futures during U.S. trading hours (7.59 a.m. to 3.00 p.m. New York time).
Two, five and ten-year contracts will be available, thereby referencing the benchmark points of the US swap yield curve. Trading hours will be extended to accommodate the US market, with contracts available from 7:00 a.m. to 8.00 p.m. London time, 2:00 a.m. to 3:00 p.m. New York time.
Hugh Freedberg, Chief Executive of Euronext.liffe said: "The swap market continues to enjoy rapid growth and, in recent years, the US dollar denominated market has grown fastest of all. Over the same period, we have seen tremendous growth in Euronext.liffe's € denominated Swapnote® futures contracts. $ Swapnote® is a logical step. It brings the accurate pricing of the Swapnote® algorithm, and the unrivalled speed and functionality of LIFFE CONNECT™ to the world's fastest growing swap market. Moreover the combination of Bank of New York's trading and credit lines to the OTC swap market and Susquehanna's unparalleled expertise as a liquidity provider will provide our customers with liquid products from the onset of trading."
