Initially, two Strips will be available for One-Month HIBOR Futures. Strip 1 comprises the first three monthly contracts and Strip 2 comprises the last three monthly contracts. Accordingly, the following One-Month Strips will be available for trading on 26 September: One-Month HIBOR Strip 1: October 2000, November 2000 and December 2000; One-Month HIBOR Strip 2: January 2001, February 2001 and March 2001. Two new One-Month Strips will be introduced each month at the expiration of the spot month contract.
Two Strips will also be available initially for Three-Month HIBOR Futures, with Strip 1 comprising the first four quarterly contracts and Strip 2 comprising the last four quarterly contracts. Accordingly, the following Three-Month Strips will be available for trading on 26 September: Three-Month HIBOR Strip 1:December 2000, March 2001, June 2001 and September 2001; Three-Month HIBOR Strip 2: December 2001, March 2002, June 2002 and September 2002.
Two new Three-Month Strips will be introduced each month at the expiration of the spot month contract.