Trading Platform:

• LIFFE CONNECT® Trading Host for Futures and Options
• Algorithm: Central order book applies 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: Block Trading, Basis Trading

Contract Standard:

Assignment of one Three Month Euroswiss futures contract for the delivery months at the exercise price.

Exercise Price Intervals:

0.125, (i.e. 0.125%) e.g. 94.00, 94.125, 94.25 etc for all quarterly delivery months.

Introduction of new exercise prices:

Seventeen exercise prices will be listed for each new series. Additional exercise prices will be listed when the Three Month Euroswiss futures contract settlement price is within 0.06 of the eighth 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.

Clearing:

LCH.Clearnet.

Unless otherwise indicated, all times are London times.