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THREE MONTH STERLING (SHORT STERLING) FUTURES
 


Codes et classification
Mnemo L Marché NYSE Liffe London Vol. 422,532 19/11/09
    Devise £ P.O. 2,537,618
 Three Month Sterling (Short Sterling) Interest Rate Futures
Taille du contrat Interest rate on three month deposit of £500,000
Échéances March, June, September, December, and two serial months, such that 26 delivery months are available for trading, with the nearest three delivery months being consecutive calendar months.
Cotation 100.00 minus rate of interest
Echelon minimum de cotation 0.01 (£12.50) with effect from Monday 23 February 2009
Dernier jour de négociation Third Wednesday of the delivery month. On the Last Trading Day, trading in the front delivery month ceases at 11:00
Date de livraison First business day after the Last Trading Day.
Heures de cotation 07:30 - 18:00
Documentation
Short Term Interest Rate Contracts (Effective 23 February 2009)
Mis à jour 06/02/09

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.