1 - The contract is cash settled; notional principles and notional coupons do not actually occur.
2 - The maturity of a US$ Swapnote® futures contract is defined as the time from the delivery month to the maturity of the last notional cash flow.

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: Asset Allocation, Block Trading, Basis Trading

Exchange Delivery Settlement Price (EDSP):
The EDSP is the present value, as of the delivery day, of the notional principal amount and the notional coupons. The discounting of the cash flows is performed using discount factors constructed, on the last trading day, from the ISDA® Dollar Swap Rate Fixings, the BBA-LIFFE US Dollar London Inter-bank Quarterly fixings and the three month BBA US Dollar LIBOR Fixing. The ISDA® Benchmark Dollar Swap Rate fixings are compiled daily at 11:00 New York time and displayed on the Reuters page "ISDAFIX1". The BBA-LIFFE US Dollar London Inter-bank Quarterly fixings are compiled qurterly at 11:00 New York time and displayed on the Moneyline-Telerate page "3850". The BBA US Dollar LIBOR fixings are compiled daily at 11:00 London time and displayed on the Bloomberg page "BBAM 1". Where the EDSP is not an exact multiple of 0.005, it will be rounded to the nearest 0.005, or where the EDSP is an exact uneven multiple of 0.0025, to the nearest higher 0.005 (e.g. an EDSP of 101.7275 becomes 101.730).

Contract Standard:
Cash settlement based on the Exchange Delivery Settlement Price.

Notional Series Of Cash Flows:
The underlying notional cash flows consist of a series of fixed notional coupons and a notional principal at maturity, the dates of which occur at six month intervals. The day of the month of each notional casg flow is the same day of the month as the delivery day if it is a workng day. Should such a semi-anniversary of a delivery day fall on a non-working day, the notional cash flow date will be the next working day, following the modified business day convention.

The notional principal amount always falls on the second full anniversary of the contract delivery day (or, first working day thereafter), giving each delivery month the price sensitivity of a two-year swap or, equivalently, a two-year bond priced off and correlated with the swap curve.

Unless otherwise indicated, all times are London times.