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Introduction

Asset allocation

Basis trading

Block trade facility

Introduction Summary Eligible contracts & minimum size thresholds Further information

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: 8 April 2011

Interest Rate Products

Short Term Interest Rate (STIR)
CONTRACT	CONTRACT MONTH	MINIMUM THRESHOLD LEVEL (LOTS)
Eonia® Futures	Outrights in all months	250
Eonia® Futures	Strategies involving all months	375 in aggregate
Eonia® Swap Index Futures	Outrights in all months	500
Eonia® Swap Index Futures	Strategies involving all months	375 in aggregate

Eurodollar Futures†	Outrights involving all months	1
Eurodollar Futures†	Strategies involving all months	1 each leg of strategy

Eurodollar Options▲	Outrights in first year (white months)	3,000
	Outrights in the second year (red months)	1,000
	Strategies involving white months	5,000 in aggregate
	Strategies involving red months	2,000 in aggregate

Eurodollar Mid-Curve Options▲	Outrights in all months	1,000
Eurodollar Mid-Curve Options▲	Strategies involving all months	2,000 in aggregate

Euribor® Futures*	Outrights in the first year (white months)	3,000
	Outrights in the second year (red months)	1,500
	Outrights in all other months	500
	Strategies involving white months	5,000 in aggregate
	Strategies involving red months	3,000 in aggregate
	Strategies involving all other months	1,000 in aggregate

Euribor® Options*	Outrights in white months	3,000
	Outrights in red months	1,000
	Strategies involving white months	5,000 in aggregate
	Strategies involving red months	2,000 in aggregate

Euribor® One Year Mid-Curve Options	Outrights in all months	1,000
Euribor® One Year Mid-Curve Options	Strategies involving all months	2,000 in aggregate

Euribor® Two Year Mid-Curve Options	Outrights in all months	500
Euribor® Two Year Mid-Curve Options	Strategies involving all months	1,000 in aggregate

Short Sterling Futures*	Outrights in white months	2,000
	Outrights in red months	1,000
	Outrights in all other months	500
	Strategies involving white months	3,000 in aggregate
	Strategies involving red months	2,000 in aggregate
	Strategies involving all other months	1,000 in aggregate

Short Sterling Options*	Outrights in white months	2,000
	Outrights in red months	1,000
	Strategies involving white months	3,000 in aggregate
	Strategies involving red months	2,000 in aggregate

Short Sterling One Year Mid-Curve Options	Outrights in all months	1,000
Short Sterling One Year Mid-Curve Options	Strategies involving all months	2,000 in aggregate

Short Sterling Two Year Mid-Curve Options	Outrights in all months	500
Short Sterling Two Year Mid-Curve Options	Strategies involving all months	1,000 in aggregate

Euroswiss Futures	Outrights in white months	1,000
	Outrights in red months	500
	Strategies involving all months	1,500 in aggregate

Euroswiss Options	Outrights in all months	1,500
Euroswiss Options	Strategies involving all months	1,500 each leg of strategy

Euroyen (TIBOR) Futures	Outrights in all months	250
Euroyen (TIBOR) Futures	Strategies involving all months	500 in aggregate

▲ These contracts are currently suspended.

† In order to facilitate the closure of remaining LIFFE positions the Minimum volume threshold has bee reduced - London Notice No. 3409, issued on 18 March 2011 refers.

* For strategy trades in these contracts involving more than one contract month, the higher threshold level will always apply.

Links to other Block Trade Facility Eligible Contracts & Thresholds

Date	Title	Description
-	Bond Derivatives
-	Index Derivatives
-	Stock Options
-	Universal Stock Futures & Single Stock Futures
-	Swapnote®