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

Contract Standard:

Assignment of one three month Sterling interest rate futures contract at the exercise price. The futures delivery month associated with each option expiry month shall be:

March the following two years in respect of January, February and March expiry months;
June the following two years in respect of April, May and June expiry months;
September the following two years in respect of July, August and September expiry months; and
December the following two years in respect of October, November and December expiry months

Exercise Price Intervals:

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

Introduction of new exercise prices:

Twenty-five exercise prices will be listed for each new series. Additional exercise prices will be listed when the three month Sterling futures contract settlement price is within 0.06 of the twelfth highest or lowest existing 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. When the Buyer exercises/abandons an option, 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.