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Liffe market: London
Trading Platform: LIFFE CONNECT®
Algorithm: Central order book applies a pro-rata algorithm, but with priority given to the first order at the best price subject to a minimum order volume and limited to a maximum volume cap.
Wholesale Services: Asset Allocation, Basis Trading, Block Trading
Exchange Delivery Settlement Price (EDSP): Based on the British Bankers’ Association London Interbank Offered Rate (BBA LIBOR)1 for three month sterling deposits at 11:00 on the Last Trading Day. The EDSP will be 100.00 minus the EDSP Rate (i.e. the BBA LIBOR) rounded to three decimal places. Where the EDSP Rate is not an exact multiple of 0.001, it will be rounded to the nearest 0.001 or, where the EDSP Rate is an exact uneven multiple of 0.0005, to the nearest lower 0.001 (e.g. a BBA LIBOR of 5.43750 becomes 5.437).
Contract Standard: Cash settlement based on the Exchange Delivery Settlement Price.
Clearing: LCH.Clearnet Ltd.
Unless otherwise indicated, all times are London times.
1. The BBA cannot be liable for any losses arising from the non-availability of, or any error or omission in, or miscalculation of, the BBA LIBOR. |
