In Brief: FTSE 100 Total Return Index Futures listed on NYSE Liffe on 8 November 2010
NYSE Technologies would like to inform clients that the FTSE 100 Total Return Index Futures Contract ("the Contract") will be made available for trading in the LIFFE CONNECT® Central Order Book, and for reporting to the Exchange via Bclear on and from Monday 8 November 2010. The Contract represents another addition to the Exchange's FTSE 100 Index suite of products which already includes the FTSE 100 Index Futures and Option Contracts and the FTSE 100 Dividend Index Futures Contract.
FTSE 100 Total Return Index
The FTSE 100 Total Return Index ("FTSE 100 TR Index") is managed by FTSE International using their standard and publicly available index methodology and calculation procedures. The FTSE 100 TR Index measures the FTSE 100 Index performance, including both price performance and income from dividend payments, in contrast to the FTSE 100 Index which only measures price performance.
Further details of the Index methodology and calculation procedures used in relation to the FTSE 100 TR Index are publicly available and can be found on the FTSE website (www.ftse.com
On and from Monday 8 November 2010, the Contract shall be made available on LIFFE CONNECT® and Bclear.
The Contract will be cash settled against the Exchange Delivery Settlement Price ("EDSP"). The Expiry Value of the FTSE 100 TR Index is calculated by FTSE International with reference to the outcome of the EDSP intra-day auction at the London Stock Exchange carried out on the Last Trading Day. Such Expiry Value is taken, and rounded where necessary, to produce the EDSP.
A summary Contract Specification is set out below:
| Futures Contract
|| FTSE 100 Total Return Index Futures
| Underlying Index
|| FTSE 100 Total Return Index
| Exchange Contract Code
| Contract Size
|| Valued at £10 per Index Point
| Delivery Months
|| The nearest four from the Mar/Jun/Sep/Dec cycle
|| Index points
| Trading Tick Size/ Tick Value
| EDSP Tick Size
| Last Trading Day ("LTD")
|| Third Friday in delivery month. In the event of the Third Friday not being a business day, the last trading day shall be the last business day preceding the third Friday
| Contract Standard
|| Cash settlement based on EDSP
|| The Expiry Value of the FTSE 100 TR Index is calculated by FTSE International with reference to the outcome of the EDSP intra-day auction at the London Stock Exchange carried out on the Last Trading Day. Such Expiry Value is taken, and rounded where necessary, to produce the EDSP
| Delivery Date
|| First Business day after the LTD
| Trading Hours
|| 08.00 - 17.30 hours on LIFFE CONNECT®
08.00 - 17.00 hours on Bclear
| Time trading ceases on LTD on LIFFE CONNECT®
|| Trading shall cease as soon as reasonably practicable after 10:15 hours
| Latest time trades may be reported via Bclear on LTD
|| Reporting shall cease as soon as the EDSP intra-day auction commences on the London Stock Exchange i.e. 10:10 hours
| Trading Platform
|| LIFFE CONNECT® & Bclear
|| NYSE Liffe Clearing
All times are London time
Block Trade Facility
The Contract will be included in the Exchange's Block Trade Facility. The minimum volume threshold will be 250 lots. Members are reminded that the minimum volume thresholds apply to each leg of a strategy trade.
An updated list of Block Trade minimum volume thresholds will be made available on the NYSE Liffe website in due course www.nyse.com/liffe.
Business Days, Trading Hours and Reporting Hours
On and from Monday 8 November 2010, the Contract will be available for trading/reporting on all remaining market days in 2010. Precise details of the trading availability of the Contract on 24 and 31 December 2010 will be published nearer the time by Notice.
Detailed session times for the trading of the Contract on LIFFE CONNECT® are as follows (all times are London time):
Members may report transactions in the Contract to the Exchange via Bclear between 08:00 and 17:00 hours (London time).