NYSE Liffe has one of the world's leading portfolios of short term interest rate (STIR) futures and options contracts, offering the most comprehensive exchange-listed coverage of the European STIR market.
In June 2008, Liffe introduced a range of futures contracts that offer cost-effective and easy access to short-term benchmark interest rates with the added benefits of an exchange environment. The Eonia® futures contract suite allows you to gain or hedge exposure to three month Eonia swap rates and euro overnight interest rates.
A three month Eonia Swap Index futures contract
A one month Eonia® futures contract
Referenced to EBF (European Banking Federation) three month Eonia Swap Index rates and the EONIA (Euro Overnight Index Average) rate, as calculated by the ECB (European Central Bank), these contracts complement our existing suite of euro denominated contracts (the Euribor®, Euro Swapnote® futures and options contracts.
Developed to meet the increasing demand from the money markets for shorter dated benchmark derivatives contracts, these contracts enable you to benefit from enhanced short-term hedging and spread trading opportunities against our other STIR contracts.
We recently introduced a Euribor/Eonia ICS (inter-contract spread) strategy for the three month Euribor and Eonia futures contracts, allowing customers to simultaneously gain exposure to both products in a single trade and to minimise their execution risk. The ICS is supported by DMMs and an LP scheme.
The three month Eonia Swap Index futures contract has its Last Trading Day in line with IMM (International Money Market) dates, also enhancing the spread trading opportunities available with NYSE Liffe’s flagship Euribor® futures contract.
The one month Eonia® futures contract, rather than being referenced to calendar months - as per the original Eonia® futures contract - has an accrual period in line with the ECB reserve maintenance periods, ensuring that it offers a more relevant hedging tool for money market traders.
For the one-month Eonia® futures contract, the Last Trading Day is the last day of the ECB reserve maintenance period and as per futures conventions, the delivery month is named after the month in which the Last Trading Day falls.
NYSE Liffe has three designated market makers (DMMs) providing two-way liquidity into the three month Eonia contract, as well as two liquidity provision schemes in place. Please visit here for further details on all our DMMs and LP schemes.
In addition, wholesale trading facilities (Block Trading, Asset Allocation and Basis Trading), are available for these contracts both in the outright and strategy markets.
The Quote Vendor Codes for the Eonia® futures contracts can be viewed here
Please note: NYSE Liffe are continuing to review the introduction of the one month Sonia futures contract.
Fixed Income Derivatives
+44 (0) 20 7379 2222 stirs@liffe.com
The Exchange draws the following statement to the attention of potential users of its One Month EONIA and SONIA Indexed Contracts and its Three Month EONIA Swap Index Contracts. Members should ensure that their clients are made aware of the statement. “Statement in relation to the EDSP: The Exchange Delivery Settlement Price (“EDSP”) of the EONIA Swap Index Contracts is calculated on the basis of the relevant EONIA Swap Index rate as described in the Contract Specification. Potential users of the EONIA Swap Index Contracts made available on the London International Financial Futures and Options Exchange should familiarise themselves with the calculation procedures for EONIA Swap Index rates, as well as the contract terms of the EONIA Swap Index Contracts. In particular, potential users should familiarise themselves with the Fallback Rules published by the European Banking Federation governing the procedures to be followed by Thomson Reuters for calculation of EONIA Swap Index rates in the event that some contributing panel banks fail to submit data in a timely fashion, or at all, to Thomson Reuters for the calculation of such EONIA Swap Index rates. The Exchange Delivery Settlement Price (“EDSP”) of the One Month EONIA and SONIA Indexed Contracts is calculated on the basis of the relevant OverNight Index Average rates as described in the Contract Specification. Potential users of the One Month EONIA and SONIA Indexed Contracts made available on the London International Financial Futures and Options Exchange should familiarise themselves with the contract terms of the One Month EONIA and SONIA Indexed Contracts. Potential users should note that, whilst the relevant OverNight Index Average rates are publicly available, the detailed calculation procedures in relation to those rates are not published. Potential users of the One Month EONIA and SONIA Indexed Contracts should be aware that OverNight Index Average rates to be used in the calculation of a final EDSP will be amended only where the European Central Bank (“ECB”) or Thomson Reuters, as the case may be, indicates to the Exchange that there is an error in such OverNight Index Average rates before the Exchange publishes that final EDSP. In that event, and subject to the terms of the OverNight Index Average Contracts, the requisite corrections to all relevant OverNight Index Average rates will be made in order to calculate such final EDSP. The accrual period for One Month EONIA and SONIA Indexed Contracts is determined by the number of days in the ECB reserve maintenance period, in the case of EONIA, and the number of days between the Bank of England’s Monetary Policy Committee meetings, in the case of SONIA. The number of days in the respective periods currently varies from 28 to 42 days in the case of the ECB and 28 to 35 days in the case of the Bank of England. A change in the length of such periods may lead to a change in the accrual period and Last Trading Day of One Month EONIA and SONIA Indexed Contracts. Moreover, both contracts have a standardised basis point value so that, for hedging purposes, a calculation will need to be made in relation to the hedge ratio to take into account any mismatch between the standardised basis point value and the actual basis point value of the position being hedged determined by the actual number of days in the accrual period.”
