London, 2016-08-10 11:00 CEST (GLOBE NEWSWIRE) --
Issue Date: 10 August 2016
Effective Date: 10 August 2016
Nasdaq NLX - Notice of Final List of Deliverable
Gilts for the September 2016 Long Gilt Future Delivery Month
This Notice serves to advise participants in the NLX market of the final delivery basket of Gilts approved for delivery for the September 2016 Delivery Month.
Final Delivery Basket – September 2016 Long Gilt Future
Pursuant to Schedule 1 – Transaction Specifications of the Product Terms of the Nasdaq NLX Long Gilt Futures contract, the Operator shall confirm the final list of Gilts that satisfy the Deliverable Bond characteristics suitable for upcoming delivery not less than 10 Business Days prior to the First Notice Day of the Delivery Month.
The First Notice Day for the September 2016 Delivery Month of the Long Gilt Futures Contract is 30th August 2016. The final list of Deliverable Gilts for the September 2016 Long Gilt Future is detailed below:
| ISIN | Coupon | Maturity | Next Coupon Day | Conversion Factor | Initial Accrued Interest | Daily Accrued Interest |
| GB00BTHH2R79 | 2.00 | 07-Sep-25 | 07- Sep | 0.8498570 | -38.043478* -38.674033** | 5.434783* 5.524862** |
| GB00BYZW3G56 | 1.50 | 22-July-26 | 22- July | 0.7974543 | 163.043478 | 4.076087 |
| GB00B16NNR78 | 4.25 | 07-Dec-27 | 07-Jun | 1.0224423 | 987.021858 | 11.612022 |
* - Accrued Interest for delivery up to and including the Coupon Day ** - Accrued Interest for delivery after the Coupon Day
For further information in relation to this Nasdaq NLX Notice, please contact:
Vishal Mewasingh
Tel: +44 (0) 203 753 2125
Email: Vishal.Mewasingh@nlx. co.uk
Nasdaq OMX/NLX 25 Basinghall Street
