Please note that in order to align this strategy with the OTC market conventions, from Monday 7 December the ICS was switched so that the Eonia Swap Index is the base contract and Euribor^® the counter contract. Gain exposure to both products in a single trade with this strategy – buy one lot of the Eonia/Euribor ICS and in return, you receive one long Eonia futures position and one short Euribor^® futures position.

Please note that in order to make this reversed strategy available for trading, from Monday 7 December the Eonia futures contract is open for trading one minute earlier, at 06:59.

The Euribor^®/Eonia ICS is supported by designated market makers, providing continuous two-way prices into the ICS in order to encourage more market participants and enhance liquidity. Please see here for more information.

For registered LPs in this inter-contract spread scheme, NYSE Liffe will rebate 100% of trading fees on both “legs” of the spread. Please visit here for more information.

NYSE Liffe uses an algorithm to assign a price to each leg of the strategy. These leg prices make up the price at which the strategy trades:

• Equal leg price allocation
  For example:
  - the Eonia/Euribor ICS spread trades at a price of 0.675
  - the reference price (based upon the best bid/offer price) for the Eonia Swap Index is 99.295 and the reference price for the Euribor is 98.630.
  - the difference between the two prices is 0.665, and the difference between this and the price the spread traded at (i.e. 0.675) is 0.010.
  - this can therefore be equally distributed between each leg and prices are allocated as below:
  Eonia: 99.295 + 0.005 = 99.300
  Euribor: 98.630 – 0.005 = 98.625
  
  
• Unequal leg price allocation
  For example:
  - if the Eonia/Euribor^® ICS spread trades at a price of 0.680, the difference between the two reference prices and the price the spread traded at (i.e. 0.680) is 0.015.
  - as this cannot be equally distributed between each leg, the extra 0.005 is added to the Eonia leg first:
  Eonia: 99.295 + 0.010 = 99.305
  Euribor: 98.630 – 0.005 = 98.625

For real-time pricing, please visit ics.if5.com.

Euribor & Eonia Swap Index Futures Contracts
Deferral of Changes to Euribor Asian Trading Hours and the Inter-contract Spread (ICS) Strategy
London Notice No. 3222

Euribor & Eonia Swap Index Futures Contracts
Reversal of the current Quoting Convention for the Inter-contract Spread (ICS) Strategy
London Notice No. 3215

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