ICE Long Gilt

ICE Gilt provides trading opportunities for market participents looking to hedge or gain exposure to interest rates around anticipated central bank rate changes. These on-exchange, standardized contracts are centrally cleared, offering capital efficiencies through margin offsets across the wider ICE interest rates portfolio. ICE Long Gilt is the benchmark for the UK government bond yield curve. Deliverable futures contract on UK Gilts have maturities from 8 years and 9 months to 13 years.
== Contract Specs ==
Long Gilt Future 	Long Gilt Future 	Long Gilt Future 	Long Gilt Future
Trading Screen Product Name 	Long Gilt Future 	Long Gilt Future 	Long Gilt Future
Trading Screen Hub Name 	ICEU 	ICEU 	ICEU
Contract Symbol 	R 	R 	R
Unit of Trading 	£100,000 nominal value notional Gilt with 4% coupon 	£100,000 nominal value notional Gilt with 4% coupon 	£100,000 nominal value notional Gilt with 4% coupon
Delivery Date 	Any business day in delivery month (at seller's choice) 	Any business day in delivery month (at seller's choice) 	Any business day in delivery month (at seller's choice)
Delivery Months 	March, June, September, December, such that the nearest three delivery months are available for trading 	March, June, September, December, such that the nearest three delivery months are available for trading 	March, June, September, December, such that the nearest three delivery months are available for trading
Quotation 	Per £100 nominal 	Per £100 nominal 	Per £100 nominal
Minimum Price Fluctuation 	0.01 (£10) 	0.01 (£10) 	0.01 (£10)
Last Trading Day 	Two business days prior to the last business day in the delivery month. On the Last Trading Day, trading in the front delivery month will cease at 11:00 	Two business days prior to the last business day in the delivery month. On the Last Trading Day, trading in the front delivery month will cease at 11:00 	Two business days prior to the last business day in the delivery month. On the Last Trading Day, trading in the front delivery month will cease at 11:00
Exchange Delivery Settlement Price	The London market price at 11:00 on the second business day prior to Settlement Day. The invoicing amount in respect of each Deliverable Gilt is to be calculated by the price factor system. Adjustment will be made for full coupon interest accruing as at Settlement Day. 	The London market price at 11:00 on the second business day prior to Settlement Day. The invoicing amount in respect of each Deliverable Gilt is to be calculated by the price factor system. Adjustment will be made for full coupon interest accruing as at Settlement Day. 	The London market price at 11:00 on the second business day prior to Settlement Day. The invoicing amount in respect of each Deliverable Gilt is to be calculated by the price factor system. Adjustment will be made for full coupon interest accruing as at Settlement Day.
Algorithm 	Central order book applies a first in first out (FIFO) matching algorithm. 	Central order book applies a first in first out (FIFO) matching algorithm. 	Central order book applies a first in first out (FIFO) matching algorithm.
Off Exchange Trade Types 	Basis Trading, Block Trading. 	Basis Trading, Block Trading. 	Basis Trading, Block Trading.
Maturities 	8 years and 9 months to 13 years 	8 years and 9 months to 13 years 	8 years and 9 months to 13 years
Contract Standard 	Delivery may be made of any gilts on the List of Deliverable Gilts in respect of a delivery month of an Exchange Contract, as published by the Exchange on or before the tenth business day prior to the First Notice Day of such delivery month. Holders of long positions on any day within the Notice Period may be delivered against during the delivery month. All gilt issues included in the List will have the following characteristics: having terms as to redemption such as provide for redemption of the entire gilt issue in a single instalment such that the length of time to the maturity date from, and excluding, the first date of the relevant delivery month is within the maturity range for the relevant Exchange Contract specified by the Board in the Contract Details; having no terms permitting or requiring early redemption; bearing interest at a single fixed rate throughout the term of the issue payable in arrears semi-annually (except in the case of the first interest payment period which may be more or less than six months); being denominated and payable as to the principal and interest only in Pounds and pence; being fully paid or, in the event that the gilt issue is in its first period and is partly paid, being anticipated by the Board to be fully paid on or before the Last Notice Day of the relevant delivery month; not being convertible; not being in bearer form; having been admitted to the Official List of the UK Listing Authority; and being anticipated by the Board to have on one or more days in the delivery month an aggregate principal amount outstanding of not less than £1.5 billion which, by its terms and conditions, if issued in more than one tranche or tap or issue, is fungible. UK Government bonds eligible for the list of deliverable Gilts in the Long Gilt futures contract must have a coupon within a ≤ 7% coupon range inclusive.	Delivery may be made of any gilts on the List of Deliverable Gilts in respect of a delivery month of an Exchange Contract, as published by the Exchange on or before the tenth business day prior to the First Notice Day of such delivery month. Holders of long positions on any day within the Notice Period may be delivered against during the delivery month. All gilt issues included in the List will have the following characteristics: having terms as to redemption such as provide for redemption of the entire gilt issue in a single instalment such that the length of time to the maturity date from, and excluding, the first date of the relevant delivery month is within the maturity range for the relevant Exchange Contract specified by the Board in the Contract Details; having no terms permitting or requiring early redemption; bearing interest at a single fixed rate throughout the term of the issue payable in arrears semi-annually (except in the case of the first interest payment period which may be more or less than six months); being denominated and payable as to the principal and interest only in Pounds and pence; being fully paid or, in the event that the gilt issue is in its first period and is partly paid, being anticipated by the Board to be fully paid on or before the Last Notice Day of the relevant delivery month; not being convertible; not being in bearer form; having been admitted to the Official List of the UK Listing Authority; and being anticipated by the Board to have on one or more days in the delivery month an aggregate principal amount outstanding of not less than £1.5 billion which, by its terms and conditions, if issued in more than one tranche or tap or issue, is fungible. UK Government bonds eligible for the list of deliverable Gilts in the Long Gilt futures contract must have a coupon within a ≤ 7% coupon range inclusive.	Delivery may be made of any gilts on the List of Deliverable Gilts in respect of a delivery month of an Exchange Contract, as published by the Exchange on or before the tenth business day prior to the First Notice Day of such delivery month. Holders of long positions on any day within the Notice Period may be delivered against during the delivery month. All gilt issues included in the List will have the following characteristics: having terms as to redemption such as provide for redemption of the entire gilt issue in a single instalment such that the length of time to the maturity date from, and excluding, the first date of the relevant delivery month is within the maturity range for the relevant Exchange Contract specified by the Board in the Contract Details; having no terms permitting or requiring early redemption; bearing interest at a single fixed rate throughout the term of the issue payable in arrears semi-annually (except in the case of the first interest payment period which may be more or less than six months); being denominated and payable as to the principal and interest only in Pounds and pence; being fully paid or, in the event that the gilt issue is in its first period and is partly paid, being anticipated by the Board to be fully paid on or before the Last Notice Day of the relevant delivery month; not being convertible; not being in bearer form; having been admitted to the Official List of the UK Listing Authority; and being anticipated by the Board to have on one or more days in the delivery month an aggregate principal amount outstanding of not less than £1.5 billion which, by its terms and conditions, if issued in more than one tranche or tap or issue, is fungible. UK Government bonds eligible for the list of deliverable Gilts in the Long Gilt futures contract must have a coupon within a ≤ 7% coupon range inclusive.
First Notice Day 	Two business days prior to the first day of the delivery month 	Two business days prior to the first day of the delivery month 	Two business days prior to the first day of the delivery month
Last Notice Day 	First business day after the Last Trading 	First business day after the Last Trading 	First business day after the Last Trading
NCR, RL and IPL Levels 	NCR: 0.35;
RL: 0.35;
IPL: 0.50, 3 second recalculation and 5 second hold periods.
To access NCR documentation click here 	NCR: 0.35;
RL: 0.35;
IPL: 0.50, 3 second recalculation and 5 second hold periods.
To access NCR documentation click here 	NCR: 0.35;
RL: 0.35;
IPL: 0.50, 3 second recalculation and 5 second hold periods.
To access NCR documentation click here
Markers 	TAS (Trade at Settlement) 	TAS (Trade at Settlement) 	TAS (Trade at Settlement)
Additional Information 	Potential users of the Long Gilt Futures Contract should familiarize themselves with the relevant Contract Terms and Administrative Procedures. ÊPotential users should consider the risks of holding a position into the Notice Period of a Gilt Contract wherein they are potential buyers or sellers in the delivery process. In particular, they should familiarize themselves with the use of Price Factors and the EDSP price formation process as these are both constituents of the formula for the calculation of the invoicing amount. 	Potential users of the Long Gilt Futures Contract should familiarize themselves with the relevant Contract Terms and Administrative Procedures. ÊPotential users should consider the risks of holding a position into the Notice Period of a Gilt Contract wherein they are potential buyers or sellers in the delivery process. In particular, they should familiarize themselves with the use of Price Factors and the EDSP price formation process as these are both constituents of the formula for the calculation of the invoicing amount. 	Potential users of the Long Gilt Futures Contract should familiarize themselves with the relevant Contract Terms and Administrative Procedures. ÊPotential users should consider the risks of holding a position into the Notice Period of a Gilt Contract wherein they are potential buyers or sellers in the delivery process. In particular, they should familiarize themselves with the use of Price Factors and the EDSP price formation process as these are both constituents of the formula for the calculation of the invoicing amount.
MIC Code 	IFLL 	IFLL 	IFLL
Clearing Venues 	ICEU 	ICEU 	ICEU
Trading Hours 	CITY 	TRADING 	PRE-OPEN
Trading Hours 	NEW YORK 	3:00 AM - 1:00 PM
03:00 - 13:00 	1:03 AM
01:03
Trading Hours 	LONDON 	8:00 AM - 6:00 PM
08:00 - 18:00 	6:03 AM
06:03
Trading Hours 	SINGAPORE 	3:00 PM - 1:00 AM
15:00 - 01:00 	1:03 PM
13:03
Codes 	Clearing Admin Name 	Gilt Bond Fut 	Gilt Bond Fut
Codes 	Physical 	R 	R
Codes 	Logical 	R 	R
Codes 	GMI (FC) 	None 	None
Codes 	ION A.C.N. 	None 	None
Long Gilt Options 	Long Gilt Options 	Long Gilt Options 	Long Gilt Options
Trading Screen Product Name	Long Gilt Future 	Long Gilt Future 	Long Gilt Future
Trading Screen Hub Name 	ICEU 	ICEU 	ICEU
Contract Symbol 	R 	R 	R
Unit of Trading 	One Long Gilt Futures contract 	One Long Gilt Futures contract 	One Long Gilt Futures contract
Contract Series 	March, June, September, December, and two serial months, such that 4 delivery months are available for trading, with the nearest three delivery months being consecutive calendar months 	March, June, September, December, and two serial months, such that 4 delivery months are available for trading, with the nearest three delivery months being consecutive calendar months 	March, June, September, December, and two serial months, such that 4 delivery months are available for trading, with the nearest three delivery months being consecutive calendar months
Contract Standard 	Assignment of one Long Gilt futures contract for the expiry month at the exercise price. The futures delivery month associated with each option expiry month shall be: March in respect of January, February and March expiry months; June in respect of April, May and June expiry months; September in respect of July, August and September expiry months; and December in respect of October, November and December expiry months. 	Assignment of one Long Gilt futures contract for the expiry month at the exercise price. The futures delivery month associated with each option expiry month shall be: March in respect of January, February and March expiry months; June in respect of April, May and June expiry months; September in respect of July, August and September expiry months; and December in respect of October, November and December expiry months. 	Assignment of one Long Gilt futures contract for the expiry month at the exercise price. The futures delivery month associated with each option expiry month shall be: March in respect of January, February and March expiry months; June in respect of April, May and June expiry months; September in respect of July, August and September expiry months; and December in respect of October, November and December expiry months.
Last Trading Day 	The last Friday prior to the first calendar day of the expiry month which is followed by at least two business days in the month preceding the expiry month. On the Last Trading Day, trading in the expiring month will cease at 15:15. 	The last Friday prior to the first calendar day of the expiry month which is followed by at least two business days in the month preceding the expiry month. On the Last Trading Day, trading in the expiring month will cease at 15:15. 	The last Friday prior to the first calendar day of the expiry month which is followed by at least two business days in the month preceding the expiry month. On the Last Trading Day, trading in the expiring month will cease at 15:15.
Exercise 	Exercise by 17:00 on any business day, brought forward to 16:00 on the Last Trading Day.
Exercise Price Intervals £0.50 e.g. £102.00, £102.50 etc.
For all contract months:
A minimum of 7 Strike Prices in increments of 0.50 above and below the at-the-money Strike Price. The “at-the-money” strike price is the closest interval nearest to the previous business day’s settlement price of the corresponding underlying future. Strike Price boundaries are adjusted according to futures price movements. User-defined Strike Prices are allowed in 0.50 increments.	Exercise by 17:00 on any business day, brought forward to 16:00 on the Last Trading Day.
Exercise Price Intervals £0.50 e.g. £102.00, £102.50 etc.
For all contract months:
A minimum of 7 Strike Prices in increments of 0.50 above and below the at-the-money Strike Price. The “at-the-money” strike price is the closest interval nearest to the previous business day’s settlement price of the corresponding underlying future. Strike Price boundaries are adjusted according to futures price movements. User-defined Strike Prices are allowed in 0.50 increments.	Exercise by 17:00 on any business day, brought forward to 16:00 on the Last Trading Day.
Exercise Price Intervals £0.50 e.g. £102.00, £102.50 etc.
For all contract months:
A minimum of 7 Strike Prices in increments of 0.50 above and below the at-the-money Strike Price. The “at-the-money” strike price is the closest interval nearest to the previous business day’s settlement price of the corresponding underlying future. Strike Price boundaries are adjusted according to futures price movements. User-defined Strike Prices are allowed in 0.50 increments.
Delivery Date 	The first business day after the exercise day 	The first business day after the exercise day 	The first business day after the exercise day
Quotation 	Multiples of 0.01 	Multiples of 0.01 	Multiples of 0.01
Minimum Price Fluctuation 	0.01 (£10) 	0.01 (£10) 	0.01 (£10)
Algorithm 	Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm with a time-weighting of 1 (ie the algorithm is effectively a priority pro-rata matching algorithm) with priority given to the first order at the best price subject to a minimum order size (collar) and limited to a maximum order size (cap). 	Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm with a time-weighting of 1 (ie the algorithm is effectively a priority pro-rata matching algorithm) with priority given to the first order at the best price subject to a minimum order size (collar) and limited to a maximum order size (cap). 	Central order book applies a gradual time based pro-rata (GTBPR) matching algorithm with a time-weighting of 1 (ie the algorithm is effectively a priority pro-rata matching algorithm) with priority given to the first order at the best price subject to a minimum order size (collar) and limited to a maximum order size (cap).
Off Exchange Trade Types 	Block Trading 	Block Trading 	Block Trading
Option Premium 	The contract price is not paid at the time of purchase. Option positions, as with futures position, are settled-to-market daily giving rise to positive or negative variation margin flows. When the Buyer exercises/abandons an option, the Buyer is required to pay the original contract price to the Exchange's Clearing Houser (CH) and the CH will pay the original option price to the Seller on the following business day. Such payments will be netted against the variation margin balances of Buyer and Seller by the CH.	The contract price is not paid at the time of purchase. Option positions, as with futures position, are settled-to-market daily giving rise to positive or negative variation margin flows. When the Buyer exercises/abandons an option, the Buyer is required to pay the original contract price to the Exchange's Clearing Houser (CH) and the CH will pay the original option price to the Seller on the following business day. Such payments will be netted against the variation margin balances of Buyer and Seller by the CH.	The contract price is not paid at the time of purchase. Option positions, as with futures position, are settled-to-market daily giving rise to positive or negative variation margin flows. When the Buyer exercises/abandons an option, the Buyer is required to pay the original contract price to the Exchange's Clearing Houser (CH) and the CH will pay the original option price to the Seller on the following business day. Such payments will be netted against the variation margin balances of Buyer and Seller by the CH.
Additional Information 	Potential users of the Options on Government Bond Contracts should familiarize themselves with the terms of these contracts and with the terms of the Underlying Futures Contract. 	Potential users of the Options on Government Bond Contracts should familiarize themselves with the terms of these contracts and with the terms of the Underlying Futures Contract. 	Potential users of the Options on Government Bond Contracts should familiarize themselves with the terms of these contracts and with the terms of the Underlying Futures Contract.
MIC Code 	IFLL 	IFLL 	IFLL
Clearing Venues 	ICEU 	ICEU 	ICEU
Trading Hours 	CITY 	TRADING 	PRE-OPEN
Trading Hours 	NEW YORK 	3:00 AM - 1:00 PM
03:00 - 13:00 	1:03 AM
01:03
Trading Hours 	LONDON 	8:00 AM - 6:00 PM
08:00 - 18:00 	6:03 AM
06:03
Trading Hours 	SINGAPORE 	3:00 PM - 1:00 AM
15:00 - 01:00 	1:03 PM
13:03
Codes 	Clearing Admin Name 	Gilt Bond Fut 	Gilt Bond Fut
Codes 	Physical 	R 	R
Codes 	Logical 	R 	R
Codes 	GMI (FC) 	None 	None
Codes 	ION A.C.N. 	None 	None
== Notes ==
== References ==
== Resources ==
Category:Sponsored Pages
Category:Sponsored Pages - ICE
Category:Reserved Pages
Category:Reserved Pages - ICE
Category:Futures Contracts Traded on ICE
Category:Futures Data in Template
Category:Interest Rates