DELIVERY PROCEDURES
FOR MATIF DELIVERABLE FUTURES CONTRACTS
2-year E-Note, 5-year Euro, Euro Notional, 30-year E-Bond futures contracts
I) DELIVERY SCHEDULE :
The schedule is expressed in business days (Paris exchange) and is the same for the 2-year E-Note, 5-year Euro, Euro Notional and 30-Year E-Bond futures contracts.
| D: | last trading day, corresponds to the second business day preceding
the third Wednesday of the delivery month. At 11:00 a.m. on D, at the end of the last trading session of the delivery month, the closing settlement price of the futures contract is determined. On the same day, the closing settlement price and the amounts due for deliverable bonds are communicated to members by a notice. |
|
| D+1: | reconciliation date Before 11:00 a.m. on D+1, sellers must inform their members, and members must then inform Euronext Paris SA, of the securities they intend to deliver (as well as, when necessary, the delivery organization). Failing notification before the deadline, Euronext Paris SA decides the deliveries each seller must make. The clearing house then assigns these securities to buyers in proportion to each buyer's share in the total open position. At 4:00 p.m. on the same day, Euronext Paris SAcommunicates the reconciliation results - securities, quantity, counterparty, delivery organization - to members (buyers and sellers). D+1 is the reference date for calculating conversion factors. |
|
| D+4: | settlement/delivery date On D+4, securities are delivered - via Sicovam's Relit Grande Vitesse (RGV) system or Euroclear - and settled in cash. Initial margins are refunded on the business day following the settlement/delivery date. |
II) COMPOSITION OF THE BOND POOLS
The underlying bond pools for 2-year E-Note, Euro 5-year, Euro Notional and 30-year E-Bond futures contracts are determined automatically: any security meeting the eligibility conditions is deliverable. The delivery basket is set definitively one month before the settlement/delivery date.
Euronext Paris SA, after consulting a committee of experts, decides before the first trading day of each delivery month whether to extend the pool to issuers other than those accepted for the preceding delivery month. Once the list of eligible issuers has been drawn up, securities are automatically included in the pool if they meet the admission criteria.
New securities can consequently be included in the delivery basket for a delivery month that is already open for trading (up until the date at which the pool is definitively set). However, no security may be withdrawn from the pool once it has been declared deliverable for a given delivery month.
Euro 2-year futures contract
Securities deliverable at contract maturity must have the following
characteristics:
- securities denominated in euros,
- issuer: French government or German government (1),
- redeemable at maturity,
- remaining life (on the settlement/delivery date of the delivery month in question) between 1.5 and 2.5 years,
- life on issue less than 6 years,
- fixed nominal interest rate,
- outstanding settled amount exceeding EUR 5 billion.
Any new issue having the above characteristics is deliverable if the settlement date for the issue that puts the outstanding amount of the bond over EUR 5 billion occurs more than one month before the settlement/delivery date of the delivery month in question.
The definitive list of securities in the pool is drawn up one month before the settlement/delivery date of the delivery month in question. This list cannot include securities issued by a given EMU participant state unless the initial list of deliverable securities included a bond issued by that state.
Euro 5-year futures contract
Securities deliverable at contract maturity must have the following
characteristics:
- securities denominated in euros,
- issuer: French government or German government (2),
- redeemable at maturity,
- remaining life (on the settlement/delivery date of the delivery month in question) between 3.5 and 5.5 years(3) ,
- life on issue less than 6 years,
- fixed nominal interest rate,
- outstanding settled amount exceeding EUR 5 billion.
Any new issue having the above characteristics is deliverable if the settlement date for the issue that puts the outstanding amount of the bond over EUR 5 billion occurs more than one month before the settlement/delivery date of the delivery month in question.
The definitive list of securities in the pool is drawn up one month before the settlement/delivery date of the delivery month in question. This list cannot include securities issued by a given EMU participant state unless the initial list of deliverable securities included a bond issued by that state.
Euro Notional contract
Securities deliverable at contract maturity must have the following
characteristics:
- securities denominated in euros,
- issuer: French government or German government (4),
- redeemable at maturity,
- remaining life (on the settlement/delivery date of the delivery month in question) between 8.5 and 10.5 years,
- fixed nominal interest rate,
- outstanding settled amount exceeding EUR 6 billion.
Any new issue having the above characteristics is deliverable if the settlement date for the issue that puts the outstanding amount of the bond over EUR 6 billion occurs more than one month before the settlement/delivery date of the delivery month in question.
The definitive list of securities in the pool is drawn up one month before the settlement/delivery date of the delivery month in question. This list cannot include securities issued by a given EMU participant state unless the initial list of deliverable securities included a bond issued by that state.
30-year E-Bond contract
Securities deliverable at contract maturity must have the following
characteristics:
- securities denominated in euros,
- issuer: sovereign states participating in EMU(5) ,
- redeemable at maturity,
- remaining life (on the settlement/delivery date of the delivery month in question) between 25 and 35 years,
- non-zero fixed nominal interest rate,
- outstanding settled amount greater than or equal to EUR 5 billion.
The list of issuer states whose securities make up the bond pool is drawn up before the first trading day of each delivery month.
The definitive list of deliverable securities is drawn up one month before the settlement/delivery date of the delivery month in question. This list cannot include securities issued by a given EMU participant state unless that state appears on the list, published before the first trading day, of accepted issuers for the delivery month in question.
III). DETERMINATION OF THE AMOUNT DUE
The amount due on a contract at delivery (AD) is equal to the closing settlement price of the futures contract multiplied by the conversion factor of the security to be delivered plus the accrued interest (expressed as a percentage), with the result adjusted to the nominal value of the futures contract:
| where | ||
| CF: | conversion factor of the security to be delivered, evaluated at the reconciliation date, | |
| SP: | closing settlement price of the futures contract, | |
| NV: | nominal value of the futures contract (EUR 100,000 for the 2-year E-Note, Euro 5-year, Euro Notional and 30-year E-Bond futures contracts). | |
| AI: | accrued interest of the security to be delivered, evaluated at the settlement/delivery date and expressed as a percentage |
Conversion factor
The conversion factor represents the present value of the security on the
reconciliation date, discounted at the nominal interest rate of the fictitious
underlying instrument, less accrued interest at the same date.
In this calculation, both the settlement date and the end date for accrued interest are set to the reconciliation date. The amount of accrued interest is calculated on an actual/actual basis and is not rounded.
clic here for detailed formulas for the conversion factor.
Accrued interest used in calculating the amount due
Accrued interest is calculated as of the date of settlement/delivery using for
each security the convention used on its cash market as of the date of
settlement/delivery (actual/actual basis(6) or 30E/360 basis(7) ). Accrued interest figures are not
rounded-off, excepted for the French OAT which are rounded to three decimals.
The accrued interest is rounded to 3 decimals for OATs but is not rounded for
other bonds.
The table below summarizes the conventions used for Matif contracts for calculating the accrued interest (AI.)
| (1) | Up to March 2000 delivery month ; other EMU States may be accepted as from the following delivery months. | [back to 1] |
| (2) | Up to March 2000 delivery month ; other EMU States may be accepted as from the following delivery months. | [back to 2] |
| (3) | As from December 1999 contract : remaining life of deliverable bonds between 3.5 and 5.5 years (instead of 4 - 5.5 years) and life on issue less than 6 years | [back to 3] |
| (4) | Up to June 2000 delivery month ; other EMU States may be accepted as from the following delivery months. | [back to 4] |
| (5) | For the December 1999 and March 2000 delivery months, accepted issuers are the French, German and Dutch Treasuries. | [back to 5] |
| (6) | actual/actual basis : the number of days between two dates is calculated on a calendar basis (a month may have 28 to 31 days, and a whole year may have 365 or 366 days) | [back to 6] |
| (7) | 730E/360 basis : the number of days between two dates is calculated on the assomption that each month has 30 days and a whole year has 360 days | [back to 7] |