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Taille du contrat |
Interest rate on three month deposit of $1,000,000 |
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Échéances |
March, June, September, December and four serial months, such that 24 delivery months are available for trading, with the nearest six delivery months being consecutive calendar months |
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Cotation |
100.000 minus rate of interest |
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Echelon minimum de cotation |
0.005 for all delivery months ($12.50 for all delivery months) |
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Dernier jour de négociation |
11:00 London time – Two London business days prior to the third Wednesday of the delivery month |
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Compens. |
Positions settled to nearest 0.005
20:00 London time |
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Date de livraison |
First business day following the Last Trading Day |
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Heures de cotation |
07:00 to 21:00 London time |
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Documentation |
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Short Term Interest Rate Contracts |
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Mis à jour |
06/02/09 |
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- Trading Platform:
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- LIFFE CONNECT® Trading Host for Futures and Options
- Algorithm: Central order book applies a pro-rata algorithm, but with priority given to the first order at the best price subject to a minimum order volume and limited to a maximum volume cap.
- Wholesale Services: Asset Allocation, Block Trading, Basis Trading
- Exchange Delivery Settlement Price (EDSP):
- Based on the British Bankers’ Association offered rate (BBA US$ LIBOR) for three month US $ deposits at 11:00 London time on the Last Trading Day. The settlement price will be 100.000 minus the BBA US$ LIBOR. 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. BBA US$ LIBOR of 1.53750 becomes 1.537).
- Contract Standard:
- Cash settlement based on the Exchange Delivery Settlement Price.
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