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Wholesale trading
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: 24 April 2009

Fixed Income Products
Swapnote®

CONTRACT

CONTRACT MONTH

MINIMUM THRESHOLD LEVEL (LOTS)

Two Year Euro Swapnote®
Futures & Options

Outrights in all months

500

Strategies involving all months

500 each leg of strategy

Five Year Euro Swapnote®
Futures & Options

Outrights in all months

200

Strategies involving all months

200 each leg of strategy

Ten Year Euro Swapnote®
Futures & Options

Outrights in all months

100

Strategies involving all months

100 each leg of strategy
Two Year U.S. Dollar Swapnote®
Futures

Outrights in all months

400

Strategies involving all months

400 each leg of strategy
Five Year U.S. Dollar Swapnote®
Futures

Outrights in all months

500

Strategies involving all months

500 each leg of strategy
Ten Year U.S. Dollar Swapnote®
Futures

Outrights in all months

500

Strategies involving all months

500 each leg of strategy

 

Links to other Block Trade Facility Eligible Contracts & Thresholds
Date Title Description
- Bond Derivatives 
- STIRs 
- Index Derivatives 
- Stock Options 
- Universal Stock Futures & Single Stock Futures