NYSE Liffe originally launched its one month Eonia futures contract in February 2003. Since then, demand in the money markets for near dated interest rate futures (particularly with a duration of three months’ or less), has increased. Furthermore, the traditionally constant relationships between Eonia® and three month Euribor® and three month Libor have become increasingly volatile since Q3 2007.

NYSE Liffe is meeting these evolving market demands with the introduction of the three month Eonia Swap Index and revised one month Eonia® futures contracts in 2008, to offer market participants enhanced hedging and exposure opportunities for all forms of money market trading.

The three month Eonia Swap Index contracts are related to IMM (International Monetary Market) dates and the one month Eonia® contracts (unlike the original one month contract), to central bank reserve maintenance periods. This makes them of greater relevance for short term money market traders.

ECB (European Central Bank):
2008: http://www.ecb.int/press/pr/date/2007/html/pr070525_1.en.html
2009: http://www.ecb.europa.eu/press/pr/date/2008/html/pr080523.en.html

Bank of England:
http://www.bankofengland.co.uk/markets/money/documentation/calendar2008.pdf

The three month Eonia Swap Index futures contract is referenced to the Eonia Swap Index sponsored by the European Banking Federation (EBF). It is the mid-market rate at which Eonia swaps are quoted by a representative panel of prime banks, who actively provide prices in the Eonia Swap market. The index is calculated daily at 11:00 hrs (CET).

The one month Eonia® futures contract is referenced to the EONIA (Euro OverNight Index Average) - as calculated by the ECB (Europeran Central Bank) - and published by Reuters daily between 18:45 and 19:00 hrs (CET). The Eonia fixing represents a weighted average of all overnight unsecured lending transactions undertaken in the euro interbank market by the contributing panel of banks.

The Eonia® fixing is published daily on Reuters page: EONIA= between 18:45 and 19:00 hrs (CET). Details are also available on Bloomberg at EONIA <Index>.

The one month Eonia® futures contract reflects the compounded rate of return of the Eonia® rate, expressed as an average over the number of days in the contract, i.e. the particular reserve maintenance period related to the futures delivery month.

NYSE Liffe are continuing to review the introduction of the one month Sonia futures contract and will continue to update on any progress regarding this.

Fixed Income Derivatives:
+44 (0)20 7379 2222
stirs@liffe.com