- Trading Screen Product Name
- Three Month Sterling 4yr Mid-Curve
- Trading Screen Hub Name
- Commodity Code
- Unit of Trading
One Three Month Sterling Interest Rate Futures Contract
- Expiry Months
March, June, September, December, and four serial months, such that eight expiry months are available for trading, with the nearest six expiry months being consecutive calendar months
- 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 four years, in respect of January, February and March expiry months; June, the following four years, in respect of April, May and June expiry months; September, the following four years, in respect of July, August and September expiry months; and December, the following four years, in respect of October, November and December expiry months.
- Last Trading Day
Friday before the third Wednesday of the expiry month. On the Last
Trading Day, trading in the expiring month will cease at 15:15.
- Exercise Deadline
Exercise by 17:00 on any business day, brought forward to 16:00 on
the Last Trading Day.
- Delivery Date
Delivery on the first business day after the exercise day
- Minimum Price Fluctuation
- 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
For all contract months:
A minimum of 13 Strike Prices in increments of 0.125 above and
below the at-the-money Strike Price. The “at-the-money”
strike price is the closest interval nearest to the previous
business day’s settlement price of the corresponding
underlying future. Strike Price boundaries are adjusted according
to futures price movements. User-defined Strike Prices are allowed
in 0.125 increments.
Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm with a time-weighting of 1 (ie the algorithm is effectively a priority pro-rata matching algorithm) with priority given to the first order at the best price subject to a minimum order size (collar) and limited to a maximum order size (cap).
- Block Trades
- Option Premium
The contract price is not paid at the time of purchase. Option positions, as with futures position, are settled-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 Exchange's Clearing Houser (CH) and the CH 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 CH.
- Other Information
Potential users of the Options on Sterling Futures Contracts should
familiarise themselves with the terms of these contracts and with
the terms of the Underlying Futures Contract.
- MIC Code
- Clearing Venues