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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).

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).


Principaux contrats (Futures)
20/11/09
Name Marché Code Vol. P.O.
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

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

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