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Information:

Investor relations
Bond derivatives

 
Liffe’s bond derivatives portfolio provides market participants with exposure to UK and Japanese longer-dated interest rates through our Long Gilt futures and options contracts and Japanese Government Bond (JGB) futures contracts. These contracts are complemented by our Swapnote® range of futures and options contracts – which provide longer-dated Euro denominated interest rate exposure (two, five and ten year maturities are listed) – as well as by our short term interest rate (STIR) portfolio which provides exposure to short term interest rates out to five years.


Main contracts by volume
08/09/08
Name Market Code Vol. O.I.
Japanese Gov Bond Fut. (JGB) LON N - -
Long Gilt Fut. LON R 28,192 343,940

Note Date for volume is current trading day. Date for open interest is current trading day -1

Our Short Sterling STIR futures and options contracts and Euroyen STIR futures contracts also provide additional shorter term exposure to Sterling and Japanese interest rates, providing our customers with a range of options to manage their Sterling and Japanese interest rate exposure.

New developments
Fee reduction for Long Gilt Future – the Exchange transaction fee for our Long Gilt futures contract is now £0.20 per lot per side. Please see General Notice 2867 for further details.

Current trading performance

  Q4 2007
Long Gilt future:             
102,854
JGB future:
583

Liffe’s interest rate portfolio
Our bond derivative contracts form part of Liffe’s interest rate portfolio, which also encompasses Shot Term Interest Rates (STIRs) and Swapnote® futures and options contracts covering the key European, American and Japanese benchmarks. Together, they represent the broadest range of interest rate contracts offered by any derivative exchange.

All of these contracts are traded on LIFFE CONNECT® with central margining and clearing provided by LCH.Clearnet Ltd. Our customers can trade these products on one electronic trading platform, using one set of trading rules and one clearing house. Together with competitive fees this makes trading Liffe’s interest rate portfolio simple, efficient and cost effective.

Further information:
If you would like to find out more information on Liffe’s bond contracts, please contact either your Account Manager, or Liffe’s Interest Rate Derivatives team on:

Tel: 44 (0)20 7379 2222
Email: bonds@liffe.com