Liffe originally launched its one month Eonia futures contract in February 2003. Since then, demand in the money markets for near dated interest rate futures (particularly with a duration of three months’ or less), has increased. Furthermore, the traditionally constant relationships between Eonia® and three month Euribor®, and Sonia and three month Libor have become increasingly volatile since Q3 2007.

Liffe is meeting these evolving market demands with the introduction of the new one month Eonia® and Sonia and three month Eonia Swap Index futures contracts in 2008, which will offer market participants enhanced hedging and exposure opportunities for all forms of money market trading.

Unlike the existing Eonia futures contract, the one month Eonia® and Sonia contracts will be related to central bank reserve maintenance periods and the three month Eonia Swap Index contracts to IMM (International Monetary Market) dates, which means the contracts are of greater relevance for short term money market traders.

ECB (European Central Bank):
2008: http://www.ecb.int/press/pr/date/2007/html/pr070525_1.en.html
2009: http://www.ecb.europa.eu/press/pr/date/2008/html/pr080523.en.html

Bank of England:
http://www.bankofengland.co.uk/markets/money/documentation/calendar2008.pdf

The Eonia® futures contract is referenced to the EONIA (Euro OverNight Index Average) - as calculated by the ECB - and published by Reuters daily between 18:45 and 19:00 (CET). Representing a weighted average of all overnight unsecured lending transactions undertaken in the euro interbank market by the contributing panel of banks, it is the key benchmark rate for euro overnight borrowings.

Eonia® fixing is published daily on Reuters page: EONIA= between 18:45 and 19:00 (CET). Details are also available on Bloomberg at EONIA <Index>.

The one month Eonia® futures contract reflects the compounded rate of return of the Eonia® rate, expressed as an average over the number of days in the contract, i.e. the particular reserve maintenance period related to the futures delivery month.

The new three month Eonia Swap Index futures contract is referenced to the Eonia Swap Index sponsored by the FBE/EBF. It is the mid-market rate at which three month Eonia swaps are quoted by a representative panel of prime banks, who actively provide prices in the Eonia Swap market. The index is calculated daily at 11:00 (CET).

The Sonia futures contract will be referenced to the WMBA SONIA (Sterling OverNight Index Average), published by Reuters at 17:00 (London time) each business day. Representing a weighted average of all overnight unsecured lending undertaken in the sterling interbank market daily between midnight and 16:15 (London time) by WMBA members (and having a minimum deal size of £25m), it is therefore the key benchmark rate for sterling overnight borrowings.

Sonia fixing is published daily on Reuters page: SONIA= at 17:00 (London time). Details are also available on Bloomberg at WMBA<GO>.

The one month Sonia futures contract will reflect the compounded rate of return of the Sonia rate, expressed as an average over the number of days in the contract, i.e. the particular reserve maintenance period related to the futures delivery month.

Please note: Liffe are continuing to review the introduction of the one month Sonia futures contract and further details will be made available in due course.

If you would like to find out more information on Liffe’s Eonia® and Sonia futures contracts, please contact your Account Manager, or:

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