ICE Futures Europe Sets Quarterly ADV and Open Interest Records; ICE Trust Launches with $45 Billion in CDS Cleared
IntercontinentalExchange(R) (NYSE: ICE), a leading operator of regulated global futures exchanges and over-the-counter (OTC) markets, today reported March and first quarter 2009 futures volume and OTC commissions. ICE(R) operates three regulated futures exchanges: ICE Futures Europe(R), ICE Futures U.S.(R) and ICE Futures Canada(R), in addition to global OTC markets for energy and credit derivatives. In March 2009, ICE(R) also began clearing credit default swaps (CDS) through ICE Trust(TM).
— March average daily volume ADV for all ICE Futures contracts was 1,036,708, in line with March 2008 volume. 1Q09 ADV for ICE’s futures markets was 998,964 contracts, roughly flat compared to 1Q08.
— March ADV at ICE Futures Europe declined 7% year-over-year, to 627,814 contracts. For the quarter, ADV was a record 638,055 contracts, up 4% from 1Q08, and open interest hit record levels.
— March ADV at ICE Futures U.S. was 395,896 contracts, an increase of 15% from March 2008. 1Q09 ADV was 345,984 at ICE Futures U.S., down 7% from 1Q08.
— Average daily commissions for ICE’s OTC energy business were $1.1 million, and Creditex revenues were $36.3 million for 1Q09.
— ICE Trust cleared CDS transactions totaling $45 billion in notional value since its launch on March 9, 2009.
European Futures Volume and RPC
ICE Futures Europe is ICE’s London-based energy futures exchange. In March, ICE Futures Europe reported monthly volume of 13.8 million contracts, a 3% increase from 13.4 million contracts in March 2008. ADV was 627,814 contracts, a decline of 7% from 672,159 the prior March. In the first quarter of 2009, ADV at ICE Futures Europe was a record 638,055 contracts, up 4% from 616,150 contracts in the first quarter of 2008.
The average rate per contract (RPC) for the first quarter of 2009 was $1.57. RPC averaged $1.55 and $1.54 for the three months ended February and January, respectively. RPC is calculated by dividing transaction revenues by contract volume, and can vary based on pricing, customer and product mix.
Open interest for ICE Futures Europe was a record 2,439,878 contracts as of March 31, 2009, compared to 2,102,574 contracts on December 31, 2008.
North American Futures Volume and RPC
ICE’s agricultural, soft commodity, financial and index futures trade on ICE’s U.S. and Canadian futures exchanges. In March, total volume at ICE Futures U.S. was 8.7 million contracts, a 27% increase from 6.9 million contracts in March 2008. ADV was 395,896 contracts, up 15% from 342,956 in March 2008. For the first quarter of 2009, ADV was 345,984 contracts, down 7% from 370,372 contracts in the first quarter of 2008.
The average RPC for the first quarter of 2009 was $2.34 for ICE Futures U.S. agricultural futures and options. RPC averaged $2.33 and $2.25 for the three months ended February and January, respectively. RPC for ICE Futures U.S. financial futures and options contracts averaged $0.78 for the first quarter of 2009. RPC averaged $0.81 and $0.74 for the three months ended February and January, respectively.
On March 31, 2009, open interest for ICE Futures U.S. was 2,825,788 contracts, compared to 3,028,877 contracts on December 31, 2008.
ICE Futures Canada recorded March 2009 volume of 285,946 contracts, down 14% from March 2008. ADV was 12,998, a decrease of 22% from March 2008. First quarter ADV for ICE Futures Canada was 14,925 compared to 18,190 contracts in the first quarter of 2008. Open interest for ICE Futures Canada was 128,229 as of March 31, 2009, compared to 97,673 contracts on December 31, 2008.
In the first quarter of 2009, ADV at ICE Futures U.S. and Canada combined was 360,909 contracts, down 7% from the first quarter of 2008.
ICE Futures: Rolling Three-Month Average Rate per Contract
Three Months Three Months Three Months
Product Line Ending Ending Ending
March February January
2009 2009 2009
ICE Futures Europe $1.57 $1.55 $1.54
ICE Futures U.S. Ag $2.34 $2.33 $2.25
ICE Futures U.S. Fin $0.78 $0.81 $0.74
Global OTC Energy
In ICE’s OTC energy markets, average daily commissions (ADC) were $1.1 million in the first three months of 2009, a decline of 16% from $1.3 million in the first quarter of 2008. Sequentially, ADC increased 23% over the fourth quarter of 2008. ADC reflects daily trading and clearing activity in ICE’s global OTC energy markets.
Global OTC Credit
ICE’s CDS markets are operated by Creditex. In the first quarter of 2009 credit derivatives revenues were $36.3 million, down 35% from the first quarter of 2008. In March 2009, ICE began clearing CDS index contracts through ICE Trust. During its first three weeks, ICE Trust cleared 399 transactions totaling $45 billion of notional value, resulting in $6 billion of open interest. ICE Trust is the industry’s first and only CDS clearing house to process transactions.
Financial Guidance Update:
— Consistent with new accounting standard SFAS No. 141(R), which requires transaction costs to be expensed, ICE will recognize transaction costs related to The Clearing Corporation (TCC) acquisition of approximately $6 million, as well as start-up expenses related to the launch of ICE Trust, of approximately $2 million during the first quarter of 2009. The revenues and expenses associated with TCC and ICE Trust are not expected to be material to ICE’s first quarter 2009 financial results.
— Excluding the TCC acquisition, headcount declined 7% during the firstquarter, and ICE incurred costs of approximately $3 million during the quarter related to these reductions. As previously disclosed, headcount is expected to be flat to down 5% for the full year, excluding any personnel additions relating to merger and acquisition activity in 2009. In addition, ICE Futures U.S. has vacated certain office space, resulting in a charge of approximately $3 million in 1Q09. Total annualized savings related to these actions are expected to be $9 million to $11 million starting in the second quarter of 2009.
— The expenses noted above will be included in ICE’s reported first quarter 2009 net income and GAAP earnings per share.
Additional March 2009 Information:
— ICE Clear Europe confirmed its commitment to providing a central counterparty clearing solution for European CDS contracts by mid-2009.
— On March 2, ICE Clear Europe(R) began clearing 44 new OTC contracts for electricity, natural gas and natural gas liquids. ICE now offers 166 cleared OTC energy contracts, including 76 OTC contracts launched since ICE Clear Europe began operations in November 2008.
— ICE’s T-Zero(R) subsidiary introduced its CDS re-couponing service to transition existing non-standard single name CDS positions to the new Standard North American Corporate (SNAC) 100 and 500 bps coupon convention.
— For the second consecutive year, ICE was named to the BusinessWeek 50.
ICE ranked 17th among S&P 500 companies in the annual ranking.
— Trading days in March 2009:
— ICE Futures Europe: 22
— ICE Futures U.S. Agricultural: 22
— ICE Futures U.S. Currency and Index: 22
— ICE Futures Canada: 22
— ICE Futures Europe product records achieved in March 2009:
— An exchange-wide open interest record of 2,439,878 was established on March 31. During the month, a number of open interest records were set in ICE Futures Europe contracts, including Gas Oil, U.K. Natural Gas, Emissions and Coal futures.
— ICE Futures U.S. product records achieved in March 2009:
— The mini Russell 1000(R) futures contract achieved a daily volume record of 26,254 contracts on March 9.
ICE Futures: March 2009 Average Daily Volume by Product
ADV ADV ADV
Product Line March March % Change
2009 2008
ICE Brent Crude futures 281,714 283,890 -0.8
ICE WTI Crude futures 177,529 262,433 -32.4
ICE Gas Oil futures 129,142 113,100 14.2
Other contracts (1) 39,429 12,736 209.6
Total ICE Futures Europe 627,814 672,159 -6.6
Russell 2000(R) mini futures & options 217,422 415 52,290.8
Sugar No. 11 futures & options 108,345 156,690 -30.9
Other agricultural commodity
contracts (2) 52,008 159,799 -67.5
Currency futures (3) 4,799 11,742 -59.1
Index futures (4) 12,911 13,269 -2.7
Other contracts (5) 411 1,041 -60.5
Total ICE Futures U.S. 395,896 342,956 15.4
Total ICE Futures Canada (6) 12,998 16,568 -21.5
TOTAL FUTURES CONTRACTS 1,036,708 1,031,683 0.5%
(1)"Other contracts" include ICE Middle East Sour Crude futures; ICE Heating Oil futures; ICE Unleaded Gasoline Blendstock (RBOB) futures; ICE UK Natural Gas futures; ICE-ECX CFI futures; ICE-ECX CFI CER futures; ICE UK Electricity futures; ICE Coal futures; ICE Brent options; ICE WTI options, ICE Gas Oil options; ICE-ECX CFI options and ICE-ECX CFI CER options. The ICE-ECX CFI futures and options contracts and the ICE-ECX CFI CER futures and options contracts are the result of a cooperative relationship between ICE Futures Europe and the Chicago Climate Exchange, Inc. and its subsidiary, the European Climate Exchange. ICE Futures Europe shares in the revenue derived from the ECX CFI and ECX CER futures and options contracts.
(2) "Other agricultural commodity contracts" include futures and/or options for Cocoa, Coffee "C", Cotton No. 2, Orange Juice, Sugar No. 14 and Sugar No. 16.
(3) "Currency futures" include futures for foreign exchange products and ICE Millions contracts.
(4) "Index futures" include futures for the U.S. Dollar Index(R), Russell 2000 (full size), Russell 1000(R), Russell 1000 mini, the Continuous Commodity Index, the Euro Index, and the NYSE Composite. The transition of the Russell Index futures and options contracts to exclusive trading on ICE occurred in September 2008.
(5) "Other contracts" include options on foreign exchange futures and options on index futures, excluding Russell 2000 mini options.
(6) "ICE Futures Canada" includes futures and options for Canola and Western Barley.
Monthly RPC and volumes are estimated using best available current information. Final figures are reported in ICE’s quarterly and annual filings with the Securities and Exchange Commission.
