ICE Eris GBP LIBOR future is first Sterling denominated interest rate swap future to trade on-exchange
Intercontinental Exchange (NYSE: ICE), a leading operator of global exchanges and clearing houses and provider of data and listings services, announced that ICE Eris Euribor® and GBP LIBOR interest rate futures reached a record monthly volume of 8,185 contracts for the month of July. The previous monthly record of 1,719 contracts was set in June 2016.
ICE Futures Europe launched Eris Euribor® and GBP LIBOR interest rate futures contracts in June 2015. The ICE Eris GBP LIBOR future is the first Sterling denominated interest rate swap future to trade on-exchange and be centrally cleared. The contracts are based on the product design of the Eris Exchange’s US dollar-denominated standard and flex swap future contracts.
“We are pleased with the increasing levels of participation and open interest in Eris interest rate futures,” said David Peniket, President, ICE Futures Europe. The exchange traded and cleared contracts have a unique methodology that replicates the economics of interest rate swaps, while increasing capital efficiency as clearing mandates come into force in Europe.”
Eris interest rate futures contracts are based on the Eris Methodology® and replicate all of the cash flows and economics of comparable swaps traded in the over-the-counter market, including Price Alignment Interest (PAI), which are incorporated into a single futures-style variation margin cash flow. Additional contract features include capital, margin and operational efficiencies of exchange-traded, cash-settled futures contracts, without physical delivery risk at maturity.
ICE Eris interest rate futures benefit from margin offsets with ICE’s extensive interest rate product range which provides a deep pool of liquidity. Open interest across the ICE interest rate futures and options complex stood at more than 17.9 million as at the end of July.
The Eris futures trade and clear alongside ICE Swapnote®, which launched in 2001 as the first ever interest rate swap futures contract, as well as ICE Futures Europe’s extensive European interest rate futures and options portfolio, providing margin efficiencies for customers.
Intercontinental Exchange (NYSE:ICE) operates the leading network of global futures and equity exchanges and provides world class clearing, data and listing services across many markets. The New York Stock Exchange is the world leader in capital raising and equities trading.
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The Eris Exchange group includes a futures exchange registered in the U.S. as a Designated Contract Market with the CFTC. The Exchange lists cash-settled interest rate swap futures with current open interest exceeding 170,000 contracts.