From 16 February 2009, you can simultaneously trade three month Euribor and Eonia futures and minimise your execution risk with the Euribor/Eonia ICS. Gain exposure to both products in a single trade with this strategy – buy one lot of the Euribor/Eonia ICS and in return, you receive one long Euribor futures position and one short Eonia Swap Index futures position.

The Euribor/Eonia ICS is now 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 London Notice No. 3129 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 Euribor/Eonia ICS spread trades at a price of -0.770
  - the reference price (based upon the best bid/offer price) for the Euribor is 98.255 and the reference price for the Eonia Swap Index is 99.035.
  - the difference between the two prices is -0.780, and the difference between this and the price the spread traded at (i.e. -0.770) is 0.010.
  - this can therefore be equally distributed between each leg and prices are allocated as below:
  Euribor: 98.255 + 0.005 = 98.260
  Eonia: 99.035 – 0.005 = 99.030
  
  
• Unequal leg price allocation
  For example:
  - if the Euribor/Eonia ICS spread trades at a price of -0.775, the difference between the two reference prices and the price the spread traded at (i.e. -0.780) is 0.005.
  - as this cannot be equally distributed between each leg, the 0.005 is taken from the Eonia leg first:
  Euribor: 98.255 + 0 = 98.255
  Eonia: 99.035 – 0.005 = 99.030

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
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