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MEFF BME: Bolsas y Mercados Españoles
New 10 Year Government Bond
 
UNDERLYNG ASSET Notional Government Bond with a 6% annual coupon and a maturity of 10 years.
CONTRACT FACE VALUE € 100,000
QUOTATION METHOD Percentage of contract value.
MINIMUM PRICE FLUCTUATION One basis point, equivalent to €10.
MAXIMUM PRICE FLUCTUATION None. If necessary it will be communicated by circular.
PROFIT AND LOSS DAILY SETTLEMENT Daily, in cash, by differences with Daily Settlement Price of the previous session.
MATURITIES At least the three closest maturities to March, June, September and December
EXPIRATION DATE 10th day of the maturity month. If holiday next business day.
LAST TRADING AND REGISTRATION DAY

Two business days prior to the expiration date.

 

DAILY SETTLEMENT PRICE It will be an approximation to the "market price". Criteria will be determined by circular.
SETTLEMENT PRICE AT EXPIRATION

Calculated by dividing the cheapest to deliver bond market price (ex-coupon) at the end of the session by the conversion factor of the bond.

The market price of the cheapest to deliver bond will be the closing price for that bond determined by SENAF.

SETTLEMENT AT EXPIRATION Deliveries of the underlying asset and the corresponding payments are due on the expiration date.
MARGINS Establish by circular.
AUCTION PERIOD From 7:55 a.m. to 8:00 a.m.
TRADING HOURS From 8:00 a.m. to 17:35 p.m.

For more information please visit the Financial Derivatives General Conditions for trading at MEFF Exchange and for Clearing and Settlement at BME Clearing.

 

 

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