Italian Government Bond (BTP) Futures Contract

Combined with the short term interest rate futures contract, i.e. the three-month Eurolira contract provides further trading and hedging opportunities on the short and long end of the Italian Lira yield curve.

The BTP futures contract, like other major bond futures contracts, requires the physical delivery of bonds at maturity. After trading ceases in a delivery month the holder of an open short position in the contract (the seller) is required to deliver BTPs to the holder of an open long position (the buyer).

At the delivery of the contract it is the seller's choice of which BTP(S) he is going to deliver from the List of Deliverable BTPs.

The delivery of BTPs from seller to buyer is effected via the "Stanza di Compensazione Titoli". It should be noted that all deliveries are required to pass through the London Clearing House (LCH).

The invoicing amount that a buyer pays for the BTP(S) delivered to him is based on the price of the BTP futures contract at 12.30 (Italian time) on the Last Trading Day of the relevant delivery month. This price is known as the Exchange Delivery Settlement Price (EDSP).

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