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Apr 01, 2010 • DTCC Connection

NYPC Will Clear NYSE Liffe U.S. Interest Rate Futures

NYSE Liffe U.S., the new U.S. futures exchange of NYSE Euronext, announced in early April that it will launch a comprehensive family of interest rate futures in the third quarter of 2010 to coincide with the anticipated regulatory approval and launch of New York Portfolio Clearing (NYPC), an innovative new clearing joint venture with DTCC (see box below).


NYSE Liffe U.S. will launch Eurodollar futures as well as 2-year, 5-year, 10-year and 30-year U.S. Treasury futures. Options on these futures are expected to be launched in fourth-quarter 2010.


Benefits of NYPC

Interest rate futures listed on NYSE Liffe U.S. will benefit from the powerful operational and capital efficiencies achieved through the NYPC clearing solution. NYPC will deliver unique capital efficiencies achieved by calculating margin requirements based on the total risk within a common Fixed Income Clearing Corporation (FICC) and NYPC member’s portfolio of both cash bonds and derivatives. Additionally, all participants that transact U.S. Treasury futures on NYSE Liffe U.S. will benefit from a highly efficient, single-net delivery process at expiry between FICC cash bond positions and NYPC futures positions, substantially reducing settlement risks at delivery.


NYPC in Brief


New York Portfolio Clearing (NYPC) is a 50/50 joint venture between NYSE Euronext and DTCC. NYSE Euronext plans to commit a $50 million financial guarantee as an additional contribution to reinforce the safety and soundness of the NYPC default fund.


Pending required regulatory approvals, NYPC initially plans to clear interest rate products traded on NYSE Liffe U.S. NYPC will be powered by NYSE Euronext’s market-leading clearing technology, TRS/CPS, which currently facilitates member position management for the NYSE Liffe market in London and ICE Clear Europe.


DTCC will provide Fixed Income Clearing Corporation’s (FICC’s) market-leading capabilities in risk management, settlement, banking and reference data systems.


For more information, visit www.nypclear.com.


“NYSE Liffe U.S. is working hard to provide our customers a compelling and unambiguous motivation to transact interest rate futures on our platform, based on capital efficiency, global distribution, operational innovation and strong alignment with today’s leading market participants,” said Thomas Callahan, CEO, NYSE Liffe U.S. “Our exchange will continue to respond to the needs of the global futures community to deliver a vibrant, liquid and fully transparent central marketplace for transacting interest rate futures.”


These products represent an important expansion of NYSE Liffe U.S. into the U.S. interest rate futures market. When combined with the precious metals futures and futures on MSCI equity indices currently traded on NYSE Liffe U.S., these new products further demonstrate NYSE Euronext’s commitment to building a highly competitive, multi-asset-class exchange. NYSE Liffe U.S. is also in advanced discussions with major market participants and regulators on a number of innovative new interest rate futures products, which are expected to be an- nounced later in the year.


More on NYSE Liffe

NYSE Liffe U.S. recently announced the closing of an equity partnership with six leading market participants, Citadel Securities, DRW Ventures LLC (an affiliate of DRW Trading Group), GETCO, Goldman Sachs, Morgan Stanley and UBS. These industry-leading partners now own a significant minority stake in NYSE Liffe U.S.


NYSE Liffe U.S. utilizes the LIFFE CONNECT® trading platform designed and maintained by NYSE Technologies. This state-of-the-art platform matched in excess of 3 million contracts per day on the NYSE Liffe markets in Europe during 2009. NYSE Liffe U.S. offers a wide variety of global connectivity options, allowing members to efficiently transact on the platform in a cost-effective manner. @


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