ICE releases LIBOR transition plan for Short Sterling and EuroSwiss futures
ICE Futures Europe today published plans for transitioning its LIBOR futures contracts in GBP and CHF into SONIA and SARON futures, respectively (link). After a consultation and feedback from market participants, the exchange proposes that:
In the meantime, ICE has developed functionality to enable members and clients wishing to transition existing positions in LIBOR to RFR futures contracts on "a voluntary and consensual basis" ahead of the 17 December deadline. ICE contends that users are currently able to benefit from "deep liquidity available in the markets for RFR futures contracts on the exchange.
For three-month SONIA, the Exchange has "fully replicated the trading functionality" available in GBP LIBOR futures and options. SONIA futures are "gaining momentum", according to ICE, which estimates that 22% of three-month sterling risk was traded in SONIA in February 2021. In contrast, SARON Futures were relaunched on 1 March 2021. They are “available to trade” in the CLOB, ICE says, with a contract size equivalent and functionality “mirroring” that which is available in EuroSwiss futures.