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 Sterling futures contract for the delivery month at the exercise price.

The futures delivery month associated with each expiry month 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, (i.e. 0.25%) e.g. 94.00, 94.25, 94.50 etc.

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

Introduction of new exercise prices:

Thirteen exercise prices will be listed for each new series. For expiry months with 0.25 exercise price intervals, additional exercise prices will be listed when the Three Month Sterling futures contract settlement price is within 0.12 of the sixth highest or lowest existing exercise price, or as deemed necessary by the Exchange. For expiry months with 0.125 exercise price intervals, additional exercise prices will be listed when the futures contract settlement price is within 0.06 of the twelfth 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.