Liffe has confirmed that it will introduce short dated UK government bond futures as the country’s national debt soars.
Paul MacGregor, director of fixed income derivatives at Liffe in London, told Futures and Options Intelligence that the exchange wanted to list two and five year Gilt futures, depending on feedback from its clients.
MacGregor said the contracts would be “potentially going live in the fourth quarter” of this year. However, he said no decision had yet been reached on whether the two contracts would be launched at the same time. “We’re quite close to finalising the contract design,” he said.
The contracts will be physically deliverable, similar to Liffe’s existing 10 year Gilt futures. Each shorter dated Gilt will have a basket of deliverable bonds and the exchange will deliver...