- Trading Screen Product Name
- Medium Gilt Future
- Trading Screen Hub Name
- ICEU
- Contract 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 Month
March, June, September, December, such that the nearest two
delivery months are available for trading
- Quotation
Per £100 nominal
- Minimum Price Fluctuation
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.
- Wholesale Trade Types
Block Trading, Basis Trading, Asset Allocation
Minimum Volume Thresholds can be found
here
- 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
inhttps://www.ice.com/pgadmin/productSpec/37612648 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%. 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
- Markers
TAS (Trade at Settlement)
- Additional 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