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STIRs

 
Short term interest rate (STIR) derivatives - an efficient means to enhance your risk management
NYSE Liffe offers easy on-exchange exposure to short-term euro, sterling and Japanese interest rates with our comprehensive portfolio of STIR futures and options contracts.

Our leading-edge speed and functionality, together with the benefits of an exchange environment - including central counterparty clearing - means that our euro and sterling denominated futures and options contracts are amongst the most liquid and heavily traded in the world.

This includes our benchmark Euribor futures and options suite which offers unrivalled liquidity and provides a cost-effective means of gaining or hedging exposure to short-term euro interest rates of up to five years. It has an ADV across the futures and options of over 1.6 million (June, 2009).

Referenced to BBA LIBOR, NYSE Liffe’s Short Sterling futures contract is also the most liquid sterling denominated STIR futures contract in the world and one of NYSE Liffe’s most actively traded contracts, with an ADV of c.700,000 across both the futures and options (June, 2009).


Main contracts (Futures)
20/11/09
Name Market Code Vol. O.I.
Eonia® LON EON - -
Euribor® LON I 1,199,370 3,523,629
Eonia swap index LON EO3 160 6,330
Euroswiss LON S 20,161 203,589
Short Sterling LON L 491,040 2,530,603

Main contracts (Options)
20/11/09
Name Market Code Vol. O.I.
Euribor® LON I 676,883 11,748,062
Short Sterling LON L 284,533 6,078,074

Note Date for volume is current trading day. Date for open interest is current trading day -1

New opportunities – raising the bar for our customers
NYSE Liffe continues to introduce new short-term trading opportunities for its customers in order to meet their evolving trading needs. For example, in 2008 we introduced our three month Eonia Swap Index futures contract, which offers exposure to three month Eonia swap rates and euro overnight interest rates. This product offers our customers new short-term hedging and spread trading opportunities.

In 2009 we also re-invigorated our packs and bundles markets with the launch of a new DMM scheme in these strategies. Packs and bundles strategy trading in Euribor and Short Sterling futures provides an efficient and cost-effective way of executing a combination of outright delivery months in a single trade, saving time and eliminating the execution risk associated with trading the individual contract legs separately.

Our STIR contracts also provide extensive spread trading opportunities, in particular against our other STIR futures contracts - as well as the availability of a number of recognised trading strategies for both the futures and options contracts.

STIR Options – a growing market
NYSE Liffe’s STIR options are performing well with strong growth in both volumes and OI during 2008 and YTD, resulting from an increased demand for volatility trading in the current market environment. Euribor and Short Sterling options contracts had an ADV of 729,532 during 2008, YTD (June, 2009) this is 818,430. There are also an increasing variety of complex strategy trades being undertaken in these markets. In order to maintain this liquidity and depth in these markets, NYSE Liffe is further developing its STIR options contracts and will launch a number of planned extensions to the product ranges and enhance functionality during 2009. Please visit here for more information on these contracts.

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