Amanda Sudworth, Director of Fixed Income at Euronext.liffe, said: “The latest increase in open interest was largely effected via our basis trading facility, which enables customers to transfer positions into all expiries of the contract, even less liquid ones, at current market prices. The Euronext.liffe Eurodollar futures contract now displays significant open interest out as far as June 06. Such a level and distribution of open interest are probably unprecedented in a new multi month contract.
Additionally, we are now in a position to increase the appeal of the Euronext.liffe Eurodollar market still further with the introduction of our first liquidity provider in the 'pack and bundle' market, an important element of the US$ swap market. Packs and bundles can now be traded for the first time, simply and efficiently, on an electronic market.”
