Liffe Introduces New Trade Matching Algorithm For Short Term Interest Rate (“STIR”) Futures Contracts

From Monday 20 August 2007 Liffe will introduce a new trade matching algorithm for its Short Term Interest Rate futures contracts. The new algorithm will be implemented for the Three Month Sterling (Short Sterling) Futures on Monday 20th August 2007, and for the Three Month Euro (Euribor) Futures and Three Month Swiss (Euroswiss) Futures on Monday 24th September 2007.

Liffe is seeking to increase opportunities for market participants through the introduction of a new trade matching algorithm. The new algorithm will add an extra dimension to trade allocation by considering not only the size of resting orders but also their relative time of entry to the market.

Short Term Interest Rate futures contracts are a key element of Liffe’s portfolio of products. Liffe will continue to develop its STIR futures contracts, to maximise participation, liquidity and market quality.

Amanda Sudworth, Director of Fixed Income said: “Liffe is committed to improving and developing its markets. As the market continues to grow, with record trading volumes in short term interest rate products, we are now making further improvements to the algorithm to encourage even greater customer participation.”