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I know that a swap (more specific an IRS) is an OTC product to exchange future payments base on a principal. In this case, the interest on the fixed leg will be computed trying to have a NPV of 0, so far so good.

Now, I have seen that there is another type of IRS that seems to be traded on regulated financial markets, for example the Euro 10 yr Swap that have EUSA10 as Bloomberg tickers.

I have seen that this ¿Instrument? have "no maturity" as it's price is traded since late 90' as seen here: https://markets.ft.com/data/indices/tearsheet/summary?s=A@?EURIRSXY:RCT

What is the Euro 10 yr Swap product?

Are there future cash flows with this product? (like the OTC swaps that I know)

What does the price of the Euro 10 yr Swap indicates?

Thank you in advance,

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What is the Euro 10 yr Swap product? Are there future cash flows with this product?

You understand swaps correctly. In this case the swap would entail exchanging fixed interest payments for floating interest payments over the next 10 years based on some underlying rate - historically EURIBOR, now EONIA, eventually €STR (ESTR).

What does the price of the Euro 10 yr Swap indicates?

The quote you're seeing is historical quotes for a 10-year swap that originated on that day. It is effectively the market's view on the average interest rate over the next 10 years.

Also note that swaps are still OTC - Bloomberg is just assigning a ticker so it can publish a quote.

  • Thank you for your answer, What I still don't understand is the meaning of the price, you said that the value shown in the page is the interest rate, but in the page the value have euro as unit. and If NPV = 0, why this value in euros is ≠ 0. Another question, when a Market Maker receives an IRS RFQ what does it contain? - the underlying variable interest rate, a fix interest rate chosen by the client and the MM responds with price in order to have a NPV =0 or - the underlying variable interest rate so the MM has to give a quote with an interest rate in order to have a NPV =0 – david.t_92 Oct 30 '19 at 18:36
  • It may say EUR but it is an interest rate. A swap quote will tell you the fixed interest rate that will make the NPV of the swap zero. – D Stanley Oct 30 '19 at 18:41
  • Thank you very much for the clarification! – david.t_92 Oct 30 '19 at 18:54

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