NYSE Liffe U.S., the U.S. futures exchange of NYSE Euronext (NYX), today announced it has reached one million lots in total Exchange Open Interest, a major milestone underscoring liquidity across asset classes and continued high levels of customer participation. Less than a year after introducing its suite of Interest Rate futures contracts, NYSE Liffe U.S. has built a competitive exchange platform offering a unique combination of industry-leading technology, capital and operational efficiencies and ground-breaking innovation.
Total Eurodollar and US Treasury futures Open Interest currently stands at 890,000 lots, representing over 87% of the Exchange's total Open Interest. Mini MSCI futures and precious metals futures also contributed 117,000 and 10,000 lots, respectively. NYSE Liffe U.S. currently represents approximately 10% of the total open interest in Eurodollar futures traded on the CME.
"As we approach the end of the year, we are grateful for the overwhelming support of our valued customers, who have enabled us to cross the one million milestone in total Open Interest on NYSE Liffe U.S.," said Thomas F. Callahan, CEO, NYSE Liffe U.S. "As we complete our first nine months of trading interest rate futures, we have quickly built a strong and diverse base of customer participation. Our rapid growth reflects the market's recognition of our unique platform that incorporates the liquidity of our exchange with the capital efficiencies of NYPC."
Interest rate futures listed on NYSE Liffe U.S. benefit from the powerful operational and capital efficiencies achieved through New York Portfolio Clearing (NYPC). NYPC delivers unique capital efficiencies achieved by calculating margin requirements based on the total risk within a portfolio of both FICC-cleared cash bonds and futures, combined with a streamlined delivery process allowing for the seamless netting of futures and cash securities.
In June 2011, NYSE Liffe U.S. completed the successful migration of over 69,700 lots of open interest in futures based on the MSCI Emerging Markets and MSCI EAFE indices, representing approximately 98% of the average open interest on the CME during the month of May, prior to the roll. In just six months since the migration, open interest in mini MSCI futures on NYSE Liffe U.S. has nearly doubled. These products, along with the NYSE Liffe U.S. precious metals contracts, clear via the The Options Clearing Corporation (OCC).