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LIFFE Resources: London Handbook

It should be noted that some key documents remain within this Liffe Market Handbook section because they are still in force under the new IFEU Rules and will remain so for the foreseeable future. This section also contains other documents that are for information purposes only.

Contract Information

Futures Contracts on Short Term Interest Rates (STIRS)

Futures Contracts on Bonds (BONDS)

Futures Contracts on Commodities

Liquidity Provider & Market Marker Programs

Basis Trades

DateNoticeDescription
19 MAY 1999

Extension Of Basis Trading Facility
- Index Futures Against A "Basket" Of Securities
- Bond Futures Against Standard OTC Swaps

17 FEB 2000

Extensions to LIFFE's Basis Trading Facility
Short Term Interest Rate Futures Against Standard
Forward Rate Agreements, OTC Interest Rate Swaps and Bonds
Exchange Traded Futures Against Relating OTC
Options and OTC Options Strategies
Asset Allocation Trades Involving a Broader
Range of Futures Contracts

21 FEB 2000
Extensions to LIFFE's Basis Trading Facility<br> Clarification of Hedge Ratios
26 APR 2000

Extension of Basis Trading Facility Inclusion of
Exchange-Traded Funds ("ETFs") Within the
Cash Leg of an Eligible Basket of Securities
Against Index Futures Contracts

09 DEC 2002

Basis Trade Facility: Inclusion of "Repo
Transactions as an Eligible Cash Leg
Simplification of the Reporting Requirements
for Basis Trades Involving Cash Bonds

03 SEP 2003

€ Swapnote® Futures Contracts:
Basis Trade Facility

17 SEP 2004
Pre-negotiation of LIFFE Business
31 OCT 2005

Basis Trading Facility: Addition to the
Eligible Basis Trade Cash Legs in respect
of the Three Month Euro (EURIBOR)
Interest Rate Futures Contract

28 MAY 2013

Authorisation of Basis Trades in Exceptional
CircumstancesUpdates to the Trading Procedures
to reflect the migration to the Universal
Trading Platform

Pre-Negotiation of Business

DATENOTICEDESCRIPTION
17 SEP 2004
Pre-negotiation of LIFFE Business
13 JAN 2014
Pre-negotiation of Business in Gilt Futures Contracts

LIFFE Memebership

DATENOTICEDESCRIPTION
15 DEC 2014
Termination of all LIFFE Memberships
30 JAN 2015
Termination of all LIFFE Memberships

LIFFE Historical Notices

Historical Liffe Notices from 2005 - 2014

Additional Historical Liffe notices can be provided upon request.

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