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Euronext.liffe To Amend Notional Coupon On The Long Gilt Futures Contract

Date 25/03/2003

Euronext.liffe today announced a change to the notional coupon level of its benchmark Long Gilt futures contract. Starting with the March 2004 delivery month, the notional coupon will be 6%. The notional coupon is currently set at 7%.

The change in specification comes after a comprehensive review of market sentiment conducted by the exchange. It is the first change to the contract’s specification since the contract was decimalised in May 1998. A change to 6% will improve the stability of the contract’s pricing behaviour for hedging purposes, limiting the risk of duration-based uncertainty.

Commenting on the change, Amanda Sudworth, Director of Interest Rate Products at Euronext.liffe said: “This change will help ensure our Long Gilt future continues to be a reliable risk management tool for the sterling denominated bond market.”