• New SONIA futures contract will aid UK transition from LIBOR Benchmark
  • Addresses client demand for liquidity in the new SONIA rate
  • CurveGlobal is making the SONIA contract clearing and exchange fee-free for the remainder of 2018

CurveGlobal, the interest rate derivatives platform, announced today its intention to launch a three-month SONIA futures contract, which will be admitted to trading on London Stock Exchange Derivatives Market (LSEDM). The innovative CurveGlobal® Three Month SONIA® Future will address client demand for liquidity in the Bank of England’s reformed benchmark rate, which is set to replace LIBOR by 2021.

The CurveGlobal® Three Month SONIA® Future is expected to go live in Q2 2018, subject to regulatory approval, and will come shortly after the initial setting of the new benchmark rate, due to be implemented from 23 April 2018. The launch comes at a time of widespread attention on the establishment of new and liquid short-term benchmarks, as seen with the planned introduction of a Secured Overnight Financing Rate, or SOFR in the United States in the second half of 2018.

To support the regulatory agenda, and encourage liquidity, CurveGlobal is making SONIA contract trading and clearing fee-free for the remainder of 2018.

Andy Ross, Chief Executive, CurveGlobal said:

"The migration to OIS-based contracts is a challenge for financial markets, so with LIBOR set to be replaced, it’s imperative that there are tight, liquid futures available to participants to manage the OIS/LIBOR spread risk. By enabling our CurveGlobal® Three Month SONIA® Future to be cleared alongside swaps and futures at LCH, participants will not only benefit from greater operational efficiency, but optimal use of capital through planned potential portfolio margining".

In addition to the CurveGlobal® Three Month SONIA® Future, CurveGlobal is introducing another market innovation with the listing of a simple native Inter-Commodity Spread contract (ICS) between the three-month SONIA and three month Short Sterling futures. The ICS "spread" means no legging risk when trading the spread, with fills in the underlyings. The ability to imply tradable prices in the ICS from orders in the outright markets and also imply from orders in the ICS out to the constituent leg will enhance liquidity in the new products. The ICS contract is also expected to be available for trading in Q2 2018.

CurveGlobal is proving itself to be a highly efficient differentiator in the exchange traded derivatives space, offering genuine choice and liquidity. Since launch, over 2.3 million lots have been traded and open interest currently stands at c.194,000. Significantly, in the context of Best Execution rules under MiFID II, CurveGlobal products listed on LSEDM continue to be best price or tied the majority of the time, while offering lower transaction fees, free market data, potential margin savings and the ability to trade fractional blocks for increased price granularity.

The "SONIA" mark is used under licence from the Bank of England (the benchmark administrator of SONIA), and the use of such mark does not imply or express any approval or endorsement by the Bank of England. "Bank of England" and "SONIA" are registered trade marks of the Bank of England.