Nasdaq NLX Market Notice: 007-16


London, 2016-08-10 11:00 CEST (GLOBE NEWSWIRE) --  

Issue Date: 10 August 2016

 

Effective Date: 10 August 2016

 

Nasdaq NLX - Notice of Final List of Deliverable

Gilts for the September 2016 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 2016 Delivery Month.

 

Final Delivery Basket – September 2016 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 September 2016 Delivery Month of the Long Gilt Futures Contract is 30th  August 2016. The final list of Deliverable Gilts for the September 2016 Long Gilt Future is detailed below:

 

ISIN Coupon Maturity Next Coupon Day Conversion Factor Initial Accrued Interest Daily Accrued Interest
GB00BTHH2R79 2.00 07-Sep-25 07- Sep     0.8498570 -38.043478*
 -38.674033**
  5.434783*
    5.524862**
GB00BYZW3G56 1.50 22-July-26 22- July     0.7974543  163.043478 4.076087
GB00B16NNR78 4.25 07-Dec-27 07-Jun     1.0224423   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 NLX Notice, please contact:

 

Vishal Mewasingh

Tel: +44 (0) 203 753 2125

Email:  Vishal.Mewasingh@nlx. co.uk

         Nasdaq OMX/NLX
         25 Basinghall Street


Attachments

NASDAQ NLX Market Notice 007-16.pdf