The minimum size threshold levels listed below are set by NYSE Liffe and may be changed from time to time. The minimum size thresholds levels for all our fixed income products with a Block Trading Facility are as follows.

Packs and Bundles Please note, for strategies that have equal lots per leg such as Packs and Bundles, the threshold level for any given contract month is the aggregate level divided by the number of legs of the strategy. For example, a White Pack in EURIBOR® has an aggregate threshold level of 5,000 lots which equates to just 1,250 lots per leg. Likewise, a Eurodollar Five Year Bundle has an aggregate threshold level of 5,000 lots and this equates to just 250 lots per leg.

Last updated: 25 November 2009