PRICE SENSITIVITY (BASIS POINT VALUE)
to establish new par swap rates and discounting the Euro Swapnote ® cash flows accordingly. The Euro Swapnote ® BPV will be the resultant change in futures price. Example: Determining the 2 Year IMM par swap rate and determining the shift using market rates +1bp (Quoted vs. 6 month Euribor®) Valuation Date: 12 June IMM Date: 20 June
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