ICE Transitions Sterling and Euroswiss LIBOR-based Derivatives to SONIA and SARON Ahead of Sterling and Swiss Franc LIBOR Cessation

Intercontinental Exchange, Inc. (NYSE:ICE), a leading global provider of data, technology, and market infrastructure, today announced that it has transitioned all open interest held in its LIBOR-based Three Month Sterling futures and options and Three Month Euro Swiss Franc (Euroswiss) futures into their risk free rate (RFR) equivalent contracts, Three Month SONIA Index futures and options and Three Month SARON Index futures.

The transition took place following the close of business on December 17, 2021.

“The transition completes ICE’s LIBOR cessation process for these contracts and ICE SONIA is now the benchmark contract for managing U.K. short term interest rate risk,” said Steve Hamilton, Global Head of Financial Derivatives at ICE. “Through continued innovation over the past few years and by closely supporting our customers through their transition to new alternative rate markets, ICE offers its customers the greatest liquidity to manage U.K. and Swiss interest rate risk as part of a broad multi-currency rate product suite.”

As outlined in April 2021 following a market consultation, ICE converted LIBOR-referenced contracts into the notional equivalent number of RFR-referenced contracts, applying the relevant spread for fallbacks in ISDA documentation to the conversion. Two Three Month Sterling futures were converted into one Three Month SONIA Index future with the same delivery month, reflecting how one SONIA future is double the notional value of a Sterling future, while the conversion of Three Month Euroswiss positions to SARON was a straight one for one conversion.

A total of 3,512,101 Sterling contracts and 145,082 Euroswiss contracts were transitioned. Open interest in SONIA futures and options stands at 6,976,654 with open interest of 153,208 in SARON.

About Intercontinental Exchange

Intercontinental Exchange, Inc. (NYSE: ICE) is a Fortune 500 company that designs, builds and operates digital networks to connect people to opportunity. We provide financial technology and data services across major asset classes that offer our customers access to mission-critical workflow tools that increase transparency and operational efficiencies. We operate exchanges, including the New York Stock Exchange, and clearing houses that help people invest, raise capital and manage risk across multiple asset classes. Our comprehensive fixed income data services and execution capabilities provide information, analytics and platforms that help our customers capitalize on opportunities and operate more efficiently. At ICE Mortgage Technology, we are transforming and digitizing the U.S. residential mortgage process, from consumer engagement through loan registration. Together, we transform, streamline and automate industries to connect our customers to opportunity.

Trademarks of ICE and/or its affiliates include Intercontinental Exchange, ICE, ICE block design, NYSE and New York Stock Exchange. Information regarding additional trademarks and intellectual property rights of Intercontinental Exchange, Inc. and/or its affiliates is located here. Key Information Documents for certain products covered by the EU Packaged Retail and Insurance-based Investment Products Regulation can be accessed on the relevant exchange website under the heading “Key Information Documents (KIDS).”

Safe Harbor Statement under the Private Securities Litigation Reform Act of 1995 -- Statements in this press release regarding ICE's business that are not historical facts are "forward-looking statements" that involve risks and uncertainties. For a discussion of additional risks and uncertainties, which could cause actual results to differ from those contained in the forward-looking statements, see ICE's Securities and Exchange Commission (SEC) filings, including, but not limited to, the risk factors in ICE's Annual Report on Form 10-K for the year ended December 31, 2020, as filed with the SEC on February 4, 2021.

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Source: Intercontinental Exchange

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