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Dérivés taux court terme

 
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). Please note that from Monday 7 December, NYSE Liffe introduced a new opening to the main Euribor® trading session, to follow its "Asian Trading Hours" (ATH). Please see here for more information.

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.750,000 across both the futures and options (November, 2009).


Principaux contrats (Futures)
09/02/10
Name Marché Code Vol. P.O.
Euribor® LON I 1,543,793 3,797,966
Eonia swap index LON EO3 381 6,037
Euroswiss LON S 22,407 222,576
Short Sterling LON L 530,996 2,196,580

Principaux contrats (Options)
09/02/10
Name Marché Code Vol. P.O.
Euribor® LON I 698,869 14,667,776
EURIBOR Mid-Curve LON K 137,100 3,202,635
Short Sterling LON L 87,758 5,474,962
Short Sterling Mid-Curve LON M 54,250 2,124,330

Note Le volume correspond à la session de négociation courante. La position ouverte correspond à la session précédente

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. On Monday 14 December 2009, we also introduced implied functionality for the Eonia/Euribor inter-contract spread (ICS) strategy - please visit here for more information on this strategy and implied functionality.

During 2009 we successfully 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 2009 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 742,726 during 2009, YTD (January, 2010) this is 1,159,542. 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 continue to launch a number of extensions to the product ranges and enhance functionality during 2010. Please visit here for more information on these contracts.

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