Mini-futures on BTP 10 yr (MBTP)
Exchange contract code |
MBTP |
Underlying |
Notional debt securities issued by the Republic of Italy with 6% notional coupon |
Contract size |
€ 25,000 nominal value |
Trading hours |
Central Order Book (COB) - Call Phase: 7.30 - 8.00 (8.00.00 - 8.00.30) CET/CEST - Continuous Trading: i) 8.00 - 22.00 CET/CEST on normal trading days; ii) 8.00 - 12.30 CET/CEST on the Last trading day Large-in-Scale Trade Facility (LIS): i) 7.30 - 22.00 CET/CEST on normal trading days; ii) 7.30 - 12.30 CET/CEST on the Last trading day |
Price quotation |
Percentage of the Par value |
Currency |
EUR, Euro, € |
Tick size (and Value) |
COB: 0.01% (€ 2.5) LIS Facility: 0.001% (€ 0.25)
|
Contract months |
Three quarterly months of the March, June, September and December cycle |
Listing of new contract month |
First trading day after the Expiry day |
Settlement |
Cash settlement based on the EDSP |
Deliverable Bonds Standards |
Bonds: debt securities issued by the Republic of Italy Original term: ≤ 17 years Remaining term: 8.5 - 11 years, calculated in relation to the 10th calendar day of the contract month Coupon: fixed rate, not inflation-linked (BTP Futura, BTP Green, BTP Valore, BTP Più excluded) Early redemption: no terms permitting or requiring it Currency: Euro-denominated Minimum outstanding amount: €5 billion prior to the first calendar day of the previous contract month expiry cycle. Otherwise, bonds won't be included among the Deliverable Bonds until the Expiry day of the current contract month
|
Last trading day |
Trading ceases at 12:30 CET/CEST on the Expiry day |
Expiry day |
Two trading days prior to the tenth calendar day of the relevant contract month, provided it is a trading day; otherwise, the immediately succeeding trading day |
Daily Settlement Price (DSP) |
VVolume-weighted average of future trade prices executed during the 2 minutes before 17:15 CET/CEST. In the absence of sufficient trades, DSP is determined based on a combination of market data (trades and bid-ask). If DSP cannot be determined as described above or it is not representative of prevailing market conditions, DSP is determined based on a theoretical valuation. |
Exchange Delivery Settlement Price (EDSP) |
EDSP = Cheapest to Deliver (CTD) bond price / Conversion Factor (CF) [rounded to the tick size] where CTD bond price is calculated as the volume-weighted average of the trade prices executed on the Central Order Book (COB) of the MOT market during the last 5 minutes of futures trading, with a minimum of 10 trades. In the absence of sufficient trades, CTD bond price is calculated based on an appropriate number of best bid-ask prices recorded on the MOT market during the last 5 minutes of futures trading. If the EDSP cannot be determined as described above or it is not representative of prevailing market conditions, EDSP is determined based on a theoretical valuation. |
Settlement day |
First business day after the Expiry day |
Algorithm |
Price-time |
Wholesale services |
LIS Facility |
Trading platform |
Optiq |
Euronext market |
Euronext Derivatives Milan |
Clearing |
Euronext Clearing |