CURVE BULLETIN - JULY 2019

CurveGlobal launches Finer Price Tick for Inter-Commodity Spreads

• Inter-Commodity Spread (ICS) moves from half to tenth tick price increments
• Enhances price discovery and results in better prices (vs half tick)
• Expanded ICS capability with new Yield Curve ICS
   

CurveGlobal’s new Finer Tick Price for Inter-Commodity Spreads (ICS), Yield Curve ICS and the CurveGlobal® One month SONIA Future are now live and available to trade. Our expanded SONIA Futures offering also adds new ICS functionality:

• New Yield Curve ICS – priced One month SONIA minus Three month SONIA
• Existing Cross Product ICS – priced Three month SONIA minus Three month Sterling

Finer Price Tick
Price increments in the ICS have been reduced from half (0.005) to tenth (0.001) tick, with the underlying futures contracts remaining at half tick increments.

This Finer Price Tick enables market participants to place orders on the central limit order book (CLOB) at price level increments of 0.001. For an ICS order for 1,000 lots (£0.5bn notional), the value of the minimum price increment will decrease from £6,250 to £1,250.

How you benefit
Using the platform’s implied functionality between the outright contracts and the ICS, an ICS priced at a Finer Price Tick will imply into the relevant outright contracts and will be available as a price improvement for traders. We flag the availability of volume at an improved price in our published market data.

• Implied pricing benefits those trading in the outrights without disaggregation of the order book
• Finer Price Tick supports LIBOR transition by reducing the cost of hedges

CurveGlobal participants continue to benefit from no data charges, lower fees and portfolio margining of swaps and futures at LCH.

The CurveGlobal® One month SONIA and Inter-Commodity Spreads are available to trade on CurveGlobal Markets, the derivatives segment of London Stock Exchange plc.

For more information on Finer Price Tick watch the video.

Further information on the new contracts is available in the Contract Specifications and further details in the Release Notes.

For more information contact us at +44 (0)20 7797 1055 or info@curveglobal.com.