nyse liffe交易所利率衍生品讲义.pptx

© NYSE Euronext. All Rights Reserved.
Introduction to Short Term Interest Rate “STIR” Futures and Options MarketsNew Trader Incentive Programmes for NYSE Liffe
Strictly Confidential
March 2011
Paul MacGregor
Director Head of Fixed e Derivatives NYSE Liffe
David Helps
Head of Business Development Fixed e Derivatives
NYSE Liffe
Strictly Confidential
3
Agenda
NYSE Liffe Fixed e derivatives portfolio
What are Short Term Interest Rate futures?
Introduction to Strategy Trading
Pro-Rata and FIFO Matching algorithms
New Traders in Futures
Introduction to STIR Options
New Traders in Options
Questions?
Fixed e Derivatives on NYSE Liffe
4
Three Month EURO (Euribor) Interest Rate Futures and Options
Three Month Sterling (Short Sterling) Interest Rate Futures and Options
Three Month Euro Swiss Franc (Euroswiss) Interest Rate Futures
Long Gilt Futures
2, 5 and 10 Year Swap Futures
Short and Medium Gilt Futures
Three Month Eonia Swap Index Futures (“FRA – OIS”)
Euro / Dollar FX futures and options
Euroyen and JGB futures, in partnership with TFX & TSE
Developing Products
Benchmark Products
Fixed e Derivatives on NYSE Liffe
5
2, 5, 10, US Bond and Ultra Treasury Futures
Three Month Eurodollar Futures
To be launched Q1 2011 subject to final regulatory approval
Launched via our US futures market “NYSE Liffe US”
Partnership with Goldman Sachs, Morgan Stanley, UBS, Citadel, DRW and Getco
Cleared via “New York Portfolio Clearing” NYPC
Offers margin offsets against Cash Treasury positions
New Products
NYSE Liffe .
What are Short Term Interest Rate “STIR” Futures?
Strictly Confidential
7
What are Short Term Interest Rate Futures?
Strictly Confidential
STIR futures are derived from interest rates covering a deposit period of three months, extending forward from three months up to ten years
The interest rates refer to near term money market rates which include: - inter-bank deposits (the “depo” market) - treasury bills - floating