GENERAL NOTICE NO: 1961

ISSUE DATE: EFFECTIVE: 24 January 2002 24 January 2002

REPORTING OF FUTURES BUTTERFLY STRATEGY TRADES 1. As members will be aware, LIFFE CONNECT provides separate markets for the execution of Exchange-recognised strategies including Butterflies in Financial and Non-Financial Futures Contracts. A Butterfly strategy involves the purchase (sale) of a contract in a near month, the purchase (sale) of two contracts in a far month and the purchase (sale) of a contract in a yet farther month. Although Butterfly strategies in Futures Contracts are created as separate markets, implied trading functionality, i.e. interaction between the Butterfly strategy market and the outright contract markets comprised in the strategy, is also available. It has recently come to light that, on occasion, incomplete information is being provided to the originating member in respect of the trade price assigned to the central outright market leg of the strategy where the trade has arisen as a result of implied functionality. In certain circumstances, it is possible - given that the central leg of the Butterfly strategy contains two lots for every one lot in each of the other two legs - for this central leg of the strategy to be executed at two different price levels within a single strategy trade. In these situations, the OnTradeStrategy message returned to the originating member does not have sufficient space to permit the reporting of two trade price levels for the central outright leg of the strategy. Whilst the strategy trade price and the prices of the two outer legs are correct, the central leg of the trade only contains the first of the two trade prices. It should be noted that, if members report the individual leg prices to their customers relying solely upon information from the OnTradeStrategy message, there is a possibility that they may be providing incomplete information. However, members should note that all details of the legs of the strategy trade are submitted to TRS from the Trading Host in full. Whilst a technical solution to the reporting problem is being investigated, members are advised to take particular care when reporting the trade prices of individual legs of Butterfly strategy trades in Futures Contracts to their customers. Members seeking further information in relation to this General Notice should contact Liffe Market Services on extension 2002.

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BY ORDER OF THE BOARD

N E Carew Hunt Market Secretary