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Intercontinental Exchange (NYSE: ICE), the leading global network of exchanges and clearing houses, announced today that Liffe reached a daily volume record of 70,480 contracts in 2 year Euro Swapnote® futures on June 12, 2014. The previous record of 38,482 contracts was set on November 11, 2008.
Total Euro Swapnote® futures volume, across the 2, 5, 10 and 30 year contracts, reached 97,940 contracts on June 12, 2014, the highest daily volume for more than 10 years. Open interest for Euro Swapnote® futures is currently 54,992 contracts as at June 12, 2014.
Swapnote® futures were launched in 2001 as a cash settled, regulated interest rate swap futures product, providing market participants with an efficient, exchange traded instrument for gaining exposure to the interest rate swaps market. Liffe currently lists Euro, Dollar and Sterling Swapnote® futures as 2, 5, 10 and 30 years contracts, as well as Swiss Franc Swapnote® futures as 2, 5 and 10 year contracts.
Liffe currently offers the most liquid and capital efficient platform for trading and clearing Euro interbank interest rates, with significant trading opportunities and margin offsets available across the sovereign curve. On Monday June 16, Liffe will introduce European government bond futures, extending the interest rate offering in Europe, across both the interbank and government yield curves.
