- Trading Screen Product Name
- Three Month Sterling Future
- Trading Screen Hub Name
- ICEU
- Symbol
L
- Unit of Trading
Interest rate on three month deposit of £500,000
- Delivery Date
First business day after the Last Trading Day
- Delivery Months
March, June, September, December, and two serial months, such that 26 delivery months are available for trading, with the nearest three delivery months being consecutive calendar months
- Quotation
100.00 minus rate of interest
- Minimum Price Movement
First quarterly delivery month: Half Basis Point (£6.25)
All other quarterly delivery months and all serial delivery
months: One Basis Point (£12.50)
- Last Trading Day
11:00 - on the third Wednesday of the delivery month
- Exchange Delivery Settlement Price
Based on the ICE Benchmark Administration Limited London Interbank
Offered Rate (ICE LIBOR) for three month sterling deposits at 11:00
on the Last Trading Day. The EDSP will be 100.00 minus the EDSP
Rate (i.e. the ICE LIBOR) rounded to three decimal places. Where
the EDSP Rate is not an exact multiple of 0.001, it will be rounded
to the nearest 0.001 or, where the EDSP Rate is an exact uneven
multiple of 0.0005, to the nearest lower 0.001 (e.g. a ICE LIBOR of
5.43750 becomes 5.437)
- Algorithm
Central order book applies a gradual time based pro-rata (GTBPR) 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
Block Trading, Basis Trading
- Contract Standard
Cash settlement based on the Exchange Delivery Settlement Price.
- MIC Code
- IFLL
- Clearing Venues
- ICEU
