Medium Gilt Future

Medium Gilt Future37612655

Description

Deliverable futures contract on UK Gilts with maturities 4 years to 6 years and 3 months

Market Specifications

Trading Screen Product Name
Medium Gilt Future
Trading Screen Hub Name
ICEU
Symbol
H
Unit of Trading
£100,000 nominal value notional Gilt with 4% coupon (December 2011 delivery month onwards)
Delivery Date
Any business day in delivery month (at seller’s choice)
Delivery Months
March, June, September, December, such that the nearest two delivery months are available for trading
Quotation
Per £100 nominal
Minimum Price Movement
0.01 (£10)
Last Trading Day
Two business days prior to the last business day in the delivery month. On the Last Trading Day, trading in the front delivery month will cease at 11:00
Exchange Delivery Settlement Price
The London market price at 11:00 on the second business day prior to Settlement Day. The invoicing amount in respect of each Deliverable Gilt is to be calculated by the price factor system. Adjustment will be made for full coupon interest accruing as at Settlement Day.
Algorithm
Central order book applies a first in first out (FIFO) matching algorithm.
Block Trades
Basis Trading, Block Trading.
Maturities
4 years to 6 years (September 2011 delivery month). 4 years to 6 years and 3 months (December 2011 delivery month onwards)
Contract Standard
Delivery may be made of any gilts on the List of Deliverable Gilts in respect of a delivery month of an Exchange Contract, as published by the Exchange on or before the tenth business day prior to the First Notice Day of such delivery month. Holders of long positions on any day within the Notice Period may be delivered against during the delivery month. All gilt issues included in the List will have the following characteristics: having terms as to redemption such as provide for redemption of the entire gilt issue in a single instalment such that the length of time to the maturity date from, and excluding, the first date of the relevant delivery month is within the maturity range for the relevant Exchange Contract specified by the Board in the Contract Details; having no terms permitting or requiring early redemption; bearing interest at a single fixed rate throughout the term of the issue payable in arrears semi-annually (except in the case of the first interest payment period which may be more or less than six months); being denominated and payable as to the principal and interest only in Pounds and pence; being fully paid or, in the event that the gilt issue is in its first period and is partly paid, being anticipated by the Board to be fully paid on or before the Last Notice Day of the relevant delivery month; not being convertible; not being in bearer form; having been admitted to the Official List of the UK Listing Authority; and being anticipated by the Board to have on one or more days in the delivery month an aggregate principal amount outstanding of not less than £1.5 billion which, by its terms and conditions, if issued in more than one tranche or tap or issue, is fungible. Note for December 2011 Delivery Month onwards: The notional coupon of the Medium Gilt futures contract will be revised from 6% to 4%. UK Government bonds eligible for the list of deliverable Gilts in the Medium Gilt futures contract must have a coupon within a ≤ 7% coupon range inclusive. In addition, the maturity range of the Medium Gilt futures contract is being amended from 4 to 6 years, to 4 to 6 years and 3 months. All these changes are effective for the December 2011 delivery month.
First Notice Day
Two business days prior to the first day of the delivery month
Last Notice Day
First business day after the Last Trading
Other Information
Potential users of the Medium Gilt Futures Contract should familiarize themselves with the relevant Contract Terms and Administrative Procedures. Potential users should consider the risks of holding a position into the Notice Period of a Gilt Contract wherein they are potential buyers or sellers in the delivery process. In particular, they should familiarize themselves with the use of Price Factors and the EDSP price formation process as these are both constituents of the formula for the calculation of the invoicing amount.

NOTE: All times are London, unless otherwise stated
MIC Code
IFLL
Clearing Venues
ICEU
Loading...

Trading Hours

CityTradingPre-Open
New York3:00 AM - 1:00 PM
03:00 - 13:00
1:03 AM
01:03
London8:00 AM - 6:00 PM
08:00 - 18:00
6:03 AM
06:03
Singapore4:00 PM - 2:00 AM
16:00 - 02:00
2:03 PM
14:03
Loading...

Codes

Clearing Admin Name
Gilt Bond Fut
Physical
H
Logical
H
GMI(FC)
R&N A.C.N.