Euro BTP Future - Financial definition
Concise definition of the term Euro BTP Future
Interest rate futures contract on a notional long-term Italian government bond (Buoni del Tesoro Poliennali or BTP) with a remaining term comprised between 8.5 and 11 years and a 6% coupon.
Comprehensive definition of the term Euro BTP Future
The Euro BTP future contract was created in September 2009 by the Eurex exchange in order to diversify its existing range of Euro-denominated bond futures which until then were composed of the Euro Schatz, Euro Bobl, Euro Bund and Euro Buxl contracts.
The creation of a second 10 year contract next to the Bund future, which is the undisputed reference in that segment of the curve, followed the turbulences in financial markets in the years before.
Those events resulted in an increase in the spread between the interest rates of AAA rated countries like Germany, whose bonds the Bund contract is built upon, and other countries with a less favorable rating, like Greece, Ireland or Italy. This widening of spreads made it increasingly difficult to hedge a position in Government bonds issued by countries of the latter category.
In addition to better hedging possibilities, this alternative 10 year contract also allows market participants to develop strategies based on the evolution of the interest rate spread between these two groups of Euro-zone countries.
Contract specifications
| Market code | FBTP1 |
| Code Reuters | FBTP1 |
| Bloomberg ticker | IK1 |
| ISIN code | DE000A0ZW3V8 |
| Currency | EUR |
| Market | Eurex |
| Trading hours | 8.00h - 19.00h ( - 12.30h on the last trading day) |
| Contract value | 100 000 EUR |
| Minimum price change (tick) | 0.01 |
| Tick value | 10 EUR |
| Coupon | 6.000% |
| Contract months | The three nearest quarterly months of the March, June, September and December cycle. |
| Delivery date | The tenth calendar day of the respective quarterly month, if this day is an exchange day; otherwise, the exchange day immediately succeeding that day. |
| Last trading day | Two exchange days prior to the Delivery Day of the relevant maturity month, until 12:30 CET. |
| Physical delivery | Bonds issued by the Republic of Italy with an initial maturity of no more than 16 ans, a residual maturity comprised between 8.5 et 11 years at delivery date and a minimum outstanding amount of 5 billion euros. |
1These codes are completed with two characters representing the given contract's delivery month: a letter to designate the month (H = March, M = June, U = September, Z = December), and one digit to designate the year (for example 9 for 2009 or 0 for 2010). The September 2011 BTP future contrat would hence have the Reuters code FBTPU1.