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traded futures contract referenced to the swap curve. It is a price-based contract, similar in concept to a forward-starting swap, and is cash set- tled against the swap curve. The contract consists of a series of notional cash flows representing the cash flows of a bond, with a fixed-rate cash flow and a principal repayment. The fixed-rate cash flow is set at 6%, and the price quotation is per 100 euro just like a bond future. When the contract expires its price reflects the market price at the time, reflecting supply and demand, and other economic and market fundamentals. The settlement price is calculated using the standard exchange delivery settle- ment price methodology (EDSP). For Swapnote the EDSP is given by   m EDSP = 100 dm + C å Ai di i = 1   (1)   where   C = the notional coupon for the contract, which is fixed at 6% m = he maturity of the contract in years, either 2, 5 or 10 Ai = the notional accrued interest between coupon dates, given as the number of days between the i-1 and i notional cash flows and divided by 360. Day counts use the 30/360 basis. di = is the zero-coupon discount factor, calculated from the swap rate is fixed for each period from the delivery date to the ith notional cash flow.   The zero-coupon yield curve is constructed by LIFFE from ISDA benchmark swap fixes as at the expiry date of the contract. The first dis- count factor d1is given by       1 = ------------------------ d1 1+ A1 rs1 (2)   wherers is the swap rate and rs1is the one-year swap rate. The full set of discount factors is then calculated using the bootstrapping technique, andis given by         di =   i - 1

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