London, 2015-11-16 10:00 CET (GLOBE NEWSWIRE) --
NASDAQ NLX Market Notice: 011-15
Issue Date: 16 November 2015
Effective Date: 16 November 2015
NASDAQ NLX - Notice of Final List of Deliverable
Gilts for the December 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 December 2015 Delivery month.
Final Delivery Basket – December 2015 Long Gilt Future
Pursuant to Schedule 1 – Transaction Specifications of the Product Terms of the NASDAQ 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 December 2015 Delivery Month of the Long Gilt Futures Contract is 27th November 2015. The final list of Deliverable Gilts for the December 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-Mar | 0.9082989 | 634.615385 | 7.554945 |
| GB0030880693 | 5.00 | 07-Mar-25 | 07- Mar | 1.0767362 | 1153.846154 | 13.736264 |
| GB00BTHH2R79 | 2.00 | 07-Sep-25 | 07- Mar | 0.8395874 | 461.538462 | 5.494505 |
| GB00B16NNR78 | 4.25 | 07-Dec-27 | 07-Dec | 1.0236747 |
-81.284153* -81.284153** |
11.612022* 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 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
