Please note that in order to align this strategy with the OTC market conventions, the ICS will soon be switched so that the Eonia Swap Index becomes the base contract and Euribor^® the counter contract. You will be able to simultaneously trade three month Eonia and Euribor^® futures and minimise your execution risk with the Eonia/Euribor ICS. 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, the Eonia futures contract will then 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 0.005 is added to the Eonia leg first:
  Eonia: 99.295 + 0.010 = 99.305
  Euribor: 98.630 – 0.005 = 98.620

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

London Notice No. 3118
Euribor^® and Eonia Swap Index futures contracts: Introduction of new LIFFE CONNECT® Recognised Strategy: Inter-contract Spread.

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