Trading Platform:

• LIFFE CONNECT® Futures and Options Trading Host
• Algorithm: Central order book applies a pro-rata trading 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: Basis Trading and Block Trading

Contract Standard:
Assignment of one Five-Year € Swapnote® Futures contract for the expiry month at the exercise price. The futures month associated with each option expiry shall be:
March in respect of January, February and March expiry months;
June in respect of April, May and June expiry months;
September in respect of July, August and September expiry months;
December in respect of October, November and December expiry months.

Exercise Price Intervals:
€ 0.25 e.g. € 100.00, 100.25 etc.

Introduction of new exercise prices:
Eleven exercise prices will be listed for each new series. Additional exercise prices will be listed when the Five-Year € Swapnote® contract settlement price is within € 0.12 of the fifth highest or lowest existing exercise price, or as deemed necessary by the Exchange.

Option Premium:
The contract price is not paid at the time of purchase. Option positions, as with futures positions, are marked-to-market daily giving rise to positive or negative variation margin flows. If an option is exercised by the Buyer, the Buyer is required to pay the original contract price to the Clearing House and the Clearing House will pay the original option price to the Seller on the following business day. Such payments will be netted against the variation margin balances of Buyer and Seller by the Clearing House.

Unless otherwise indicated, all times are London times.