NYSE Liffe has told Futures and Options Intelligence that it will list two and five year Gilt futures “as soon as possible”.
Paul MacGregor, director of fixed income derivatives at Liffe, said that after consulting the market about the idea in July, Liffe had decided to go ahead and introduce the contracts, which it will call Short Term and Medium Term Gilt Futures.
The exchange has yet to confirm a specific launch date for the contracts but MacGregor said Liffe wanted to list them “as soon as possible”.
The contracts will be physically deliverable, like Liffe’s existing Long Gilt Futures, which reference bonds with maturities of 8.75 to 13 years. Each shorter dated contract will have a basket of...