Asset Classes

Interest Rates

ICE Futures Europe offers the most comprehensive coverage of both sovereign and inter-bank yield curves in Europe, in addition to the dollar-denominated Eurodollar and GCF Repo futures. ICE's interest rate futures and options contracts span geographies and tenors, extending from short-term to medium- and long-term rates. All interest rate contracts are cleared at ICE Clear Europe, allowing for meaningful capital efficiencies to be realized.

A STRONG YEAR FOR INTEREST RATE DERIVATIVES - VIEW 2016 HIGHLIGHTS


Short Sterling

Short Sterling futures are cash settled futures that reference the ICE Sterling LIBOR rate, and are the market benchmark for trading the short end of the Sterling curve.

Short Sterling options deliver into a Short Sterling future that immediately expires. They provide market participants with opportunities for trading the Sterling curve and help manage the profile of interest rate risk.

Short Sterling mid-curve options deliver into a Short Sterling future that expires at a later date. They provide near-dated exposure to longer-dated futures positions, and carry a much lower time value compared to vanilla options.

Featured Sterling Products

Short Sterling Futures Short Sterling Options
Mid curve Short Sterling Options

EURIBOR ®

EURIBOR futures are cash settled futures that reference the European Money Markets Institute EURIBOR rate (EMMI EURIBOR), and are the market benchmark for trading the short end of the Euro curve.

EURIBOR options deliver into a EURIBOR future that immediately expires. They provide market participants with opportunities for trading the Euro curve and help manage the profile of interest rate risk.

EURIBOR mid-curve options deliver into a EURIBOR future that expires at a later date. They provide near-dated exposure to longer-dated futures positions, and so carry a much lower time value compared to vanilla options.

Featured EURIBOR Products

Three Month EURIBOR Futures Three Month EURIBOR Options
Mid-Curve EURIBOR Options

Gilt

The Short and Medium Gilt futures reference the 2 and 5 year segments of the curve respectively, and complement our Short Sterling futures and options contracts by offering a range of spread trading opportunities across the sovereign and interbank curves.

Our flagship Long Gilt Futures contract is the market benchmark for the 10 year segment of the UK sovereign yield curve. This highly liquid contract allows market participants to trade curve basis, when used in conjunction with the 2, 5 and 30 year Gilt futures.

Ultra Long Gilt futures were launched in response to market demand for a futures contract to hedge longer dated exposure in the UK debt market. They provide an efficient and centrally cleared means of gaining access to the 30 year segment of the UK sovereign yield curve.

Featured Gilt Products

Short Gilt Future Medium Gilt Future
Long Gilt Future Ultra Long Gilt Future

Swapnote ®

Swapnote is a cash settled future that prices like a notional bond future with a fixed notional coupon and a range of fixed maturities, and uses the ISDAFIX swap curve to discount the notional cash flows. Swapnote contracts are denominated in Euro, Sterling, U.S. Dollar & Swiss Franc, with 2, 5, 10 and 30 year maturities available (no 30 year for Swiss Franc).

Swapnote allows market participants to gain access to the interbank swaps curve using a future, and unlike Government Bond futures does not carry basis risk.

Our flagship Euro contract has on-screen and off-screen liquidity and can be used as a hedging tool, a duration-management tool, or, when traded alongside our Government Bond futures, as part of a synthesised asset swap.

Featured Swapnote Products

Swapnote Futures & Options

Eris Interest Rates

Our Eris standard interest rate futures contracts, which are denominated in Euro (EUR) and Pound Sterling (GBP), are based on the product design of Eris Exchange US dollar-denominated Eris Standard Swap future.

Learn More About Eris Interest Rate Futures ›