Trading Platform:

• 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 London Interbank Offered Rate (BBA LIBOR) for three month Euroswiss Franc deposits at 11:00 on the Last Trading Day. The settlement price will be 100.00 minus 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 1.43750 becomes 1.437).

Contract Standard:

Cash settlement based on the Exchange Delivery Settlement Price.

Clearing:

LCH.Clearnet

Unless otherwise indicated, all times are London times.