|
| MATIF
LONG TERM GILT FUTURES CONTRACT |
| Contract |
Matif Long Term Gilt (GLT) |
| Underlying instrument |
Fictitious UK Government bond, denominated
in GBP, with a maturity of 7.5 to 11 years for September 1998.and
8.75 to 13 years, beginning December 1998 redeemable at maturity,
with 7% coupon. |
| Trading unit |
£100,000 |
| Price quotation |
Percentage of nominal, to two decimal places |
| Minimum price fluctuation (Tick) |
Tick size 0.01 % of nominal, value 10 GBP |
| Contract cycles |
First two from the March, June, September,
December cycle |
| Last trading day |
Second business day (in Paris and London)
preceding the third Wednesday of the delivery month at 10 :00 a.m
(London time), i.e 11:00 (Paris time) |
| First trading day |
First business day of a delivery month, opening
of a third quarterly maturity. |
| Settlement |
Delivery of gilts, at seller's choice, among an official list of
eligible UK government bonds. The final list is published by MATIF
SA 15 business days prior to the last trading day.
The deliverable gilts shall
a) have nominal and coupon payable in Pounds and pence ,
b) be entirely redeemable at maturity,
c) not be convertible,
d) bear interest at a single fixed rate payable in arrears
semi-annually (except for the first coupon payment),
e) not be in bearer form,
f) have an outstanding amount of at least £ 1.5 billion
or of at least £ 3 billion if the bond was first issued more
than twelve months before the delivery month,
g) have a residual maturity from 7,5 to 11 years for
September 1998 and from 8.75 to 13 years beginning December
1998.
Delivery is based on the Exchange Delivery Settlement Price
which corresponds to the market closing price on the last trading
day. |
| Delivery schedule |
D last trading day. D + 1 repartition D + 2
delivery Conversion Factor calculated on the repartition day.
Delivery mechanism : through Euroclear |
| Trading hours |
NSC
Pre-opening : 8:15 - 8:30 a.m (London Time) i.e 9:15 - 9:30
(Paris time) Main session : 8:30 a.m - 6:30 p.m (London time) i.e
9:30 - 19:30 (Paris time) Settlement price determined at : 3:30 p.m
(London Time) i.e 16:30 (Paris time) |
Delivery
month
December 1998 |
Last trading day......................December 14, 1998
reconciliation day.......................December 15, 1998
settlement/delivery day...............December 16, 1998
conversion factor calculated on.......December 15, 1998
accrued interest calculated on........December 16, 1998
|
DELIVERABLE SECURITIES
ISIN code |
conversion factor
(CF) |
accrued interest
in %
(AI) |
GILT 7.25 %
December 7, 2007
GB0009997114 |
101.6432 |
0.17926 |
GILT 9 %
October 13, 2008
GB0009128371 |
114.0229 |
1.58242 |
GILT 8 %
September 25, 2009
GB0009125369 |
107.4626 |
1.81215 |
GILT 5.75 %
December 7, 2009
GB0003042636 |
90.18312 |
0.14217 |
GILT 6.25 %
November 25, 2010
GB0008890161 |
93.9907 |
0.36257 |
GILT 9 %
July 12, 2011
GB0002215225 |
116.5346 |
3.83967 |
Delivery
month
March 1999 |
Last trading day......................March 15, 1999
reconciliation day.......................March 16, 1999
settlement/delivery day...............March 17, 1999
conversion factor calculated on.......March 16, 1999
accrued interest calculated on........March 17, 1999
|
DELIVERABLE SECURITIES
ISIN code |
conversion factor
(CF) |
accrued interest
in %
(AI) |
GILT 7.25 %
December 7, 2007
GB0009997114 |
101.5969 |
1.99176 |
GILT 9 %
October 13, 2008
GB0009128371 |
113.7782 |
3.83242 |
GILT 8 %
September 25, 2009
GB0009125369 |
107.3576 |
3.82320 |
GILT 5.75 %
December 7, 2009
GB0003042636 |
90.6665 |
1.57967 |
GILT 6.25 %
November 25, 2010
GB0008890161 |
94.0654 |
1.93370 |
GILT 9 %
July 12, 2011
GB0002215225 |
116.3183 |
1.59116 |
|
