The Short Sterling Futures Contract

The LIFFE Short Sterling futures contract was, together with the LIFFE Eurodollar future, the first short term interest rate futures contract traded in Europe and one of the first contracts to be traded on LIFFE when the Exchange opened in 1982. Today the contract is established as the pricing benchmark of the short end of the Sterling yield curve, and offers concentrated liquidity in a single trading and hedging instrument.

Short term Sterling interest rates have shown considerable volatility in recent years. The Three Month Sterling Interest Rate future, known as the "Short Sterling" future, was introduced on LIFFE to provide an efficient hedging instrument against this type of interest rate volatility.

In the first half of 1993, turnover in the futures contract averaged 46,837 contracts per day, representing 223 billion nominal. Open interest stood at 300,536 contracts as at 30 June, representing

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