NASDAQ OMX NLX Market Notice: 008-15


London, 2015-08-14 10:29 CEST (GLOBE NEWSWIRE) --  

 

NASDAQ OMX NLX Market Notice: 008-15

 

Issue Date: 14 August 2015

Effective Date: 14 August 2015

 

NASDAQ OMX NLX - Notice of Final List of Deliverable

Gilts for the September 2015 Long Gilt Future Delivery Month

This Notice serves to advise participants in the NLX market of the final delivery basket of Gilts approved for delivery for the September 2015 Delivery month.

 

Final Delivery Basket – September 2015 Long Gilt Future

Pursuant to Schedule 1 Transaction Specifications of the Product Terms of the NASDAQ OMX NLX Long Gilt Futures contract, the Operator shall confirm the final list of Gilts that satisfy the Deliverable Bond Characteristics suitable for upcoming delivery not less than 10 Business Days prior to the First Notice Day of the Delivery Month.

The First Notice Day for the September 2015 Delivery Month of the Long Gilt Futures Contract is 27th   August 2015. The final list of Deliverable Gilts for the September 2015 Long Gilt Future is detailed below:

 

ISIN Coupon Maturity Next Coupon Day Conversion Factor Initial Accrued Interest Daily Accrued Interest
GB00BHBFH458 2.75 07-Sep-24 07-Sep 0.9061631 -52.309783 *
-52.884616 **
7.472826 *
  7.554945 **
GB0030880693 5.00 07-Mar-25 07-Sep 1.0785114 -95.108696 *
-96.153846 **
13.586957 *
  13.736264 **
GB00BTHH2R79 2.00 07-Sep-25 07-Sep 0.8362718 -38.043478 *
-38.461538 **
5.434783 *
  5.494505 **
GB00B16NNR78 4.25 07-Dec-27 07-Dec 1.0239957 987.021858  11.612022

 

*   - Accrued Interest for delivery up to and including the Coupon Day            ** - Accrued Interest for delivery after the Coupon Day

 

For further information in relation to this NASDAQ OMX NLX Notice, please contact:

 

Stuart Deel-Smith

Tel: +44 (0) 203 753 2106

Email:  Stuart.Deel-Smith@nlx.co.uk

 

Vishal Mewasingh

Tel: +44 (0) 203 753 2125

Email:  Vishal.Mewasingh@nlx. co.uk

 

Maryna Syrovatka

Tel: +44 (0) 203 753 2127

Email:  Maryna.Syrovatka@nlx.co.uk

 


Attachments

NASDAQ OMX NLX Market Notice 008-15.pdf