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NYSE Liffe Gateway

Asset Allocation Trades

Overview

Note: This section relates to wholesale trades when using versions prior to 7.17. For information on trading wholesale trades using version 7.17, refer to the section located here.

Asset Allocation trades allow market participants to take positions in, or transfer exposure between, two different Liffe contracts simultaneously.

For Asset Allocation orders, a single trader may enter both sides (buy and sell) of the Asset Allocation order. In the Asset Allocation window, the trader must complete both the buy and sell sections at the same time.

In addition, X_TRADER Version 7.9 and higher allows up to three traders to separately enter the individual legs (buy or sell) to complete the Asset Allocation order. This allows the trader to complete either the buy or sell side of the asset allocation.

Note

To submit a single-sided (buy or sell) Asset Allocation order, traders must upgrade to X_TRADER Version 7.9 and higher.

Supported Products

Currently, the exchange allows Asset Allocation trades for all interest rate futures and STIR option contracts in addition to the following equity products:

  • FTSE 100 Index Futures
  • FTSE 250 Index Futures
  • FTSE Eurotop 100 Index Futures
  • All Universal Stock Futures (USFs) except for single stock futures (SSFs)

Considerations and Restrictions

As shown in the table below, the combinations of contracts allowed for Asset Allocation trades differ based on the duration of the two contracts.

Asset Allocation Combinations

Duration

Supported Combinations

Same Duration

Universal Stock Futures contracts v Universal Stock Futures contracts

Equity Index contracts v Equity Index contracts;

Equity Index contracts v Bond contracts;

Short term interest rate (STIR) contracts v STIR contracts;

Bond contracts v Bond contracts;

Bond contracts v Swapnote® contracts;

Swapnote contracts v Swapnote® contracts;

Different Durations

STIR contracts v Bond contracts;

STIR contracts v Swapnote® contracts;

Bond contracts v Bond contracts;

Bond contracts v Swapnote® contracts;

Swapnote® contracts v Swapnote® contracts;

Note

The exchange also allows Asset Allocation trades between STIR Options contracts. For these trades, the two legs must have the same delivery month.

In addition, the exchange offers two types of hedge ratios that traders must taken into consideration when entering Asset Allocation trades. For more information on hedge ratios, refer to the exchange website.

Submitting an Asset Allocation Trade

When submitting an Asset Allocation trade, you must select the desired contract from the Market Grid. Once selected, X_TRADER automatically populates the Series, Month, and AMR fields with the appropriate data from the Market Grid.

You must populate the Trader field with the value of the ITM of the Order Session that will route the order.

Note

Older versions of X_TRADER may populate the Trader field with the user Trader ID. If present, you must replace this value with the correct ITM when entering an Asset Allocation trade.

You must populate the Price and Quantity fields to submit an Asset Allocation trade.

Asset Allocation trades require users to select the appropriate values in the following fields:

  • Trade Seq
  • Matching Contract
  • Counter Party
  • Password