ICE Futures Europe packs and bundles are recognized trading strategies that enable you to easily execute a combination of contract months in Short-Term Interest Rate (STIR) Euribor, Sterling, Eurodollar and Euroswiss futures contracts. This allows users to gain exposure to longer term interest rates, without the legging risk and cost of trading the individual months.
Average Difference Change Pricing
Packs and Bundles prices will be quoted using the annualised price convention, also known as Average Difference Change (ADC) Pricing. The tick increment to be used in the pack and bundle markets for Three Month Sterling Futures will be:
|Screen Price Increment||Price in Basis Points||Leg Price Assignment Increment|
|Three Month Sterling||0.25||0.0025||0.01|
The Exchange will use a price factor of 100 to convert the displayed screen price of a pack or bundle into basis point tick increments. Packs and Bundles leg prices will be assigned in whole basis points and allocated starting from the back months of the strategy and moving forwards. For example: a user submits a price of 2.75, which is then converted to 0.0275 ticks by dividing the price by the price factor (2.75/100). This tick price can then be assigned to each individual leg price.
Example of the ADC Price Convention
A pack consists of the following months:
A transaction occurs in the pack @ 2.75 (screen price).
Trading Engine will divide that price by 100 to give 0.0275. Multiply that price by the number of legs to get how many ticks to give in total: 0.0275 * 4 = 0.11. These ticks are given to the legs in 0.01 increments. The 11 ticks would be given evenly (2 per month) with the 3 leftover ticks given to Dec 15, Sep 15 and Jun 15 ie working forwards from the back month of the strategy. In this example the final leg prices would be: