ICE Futures Europe notified market participants on Friday that it will introduce tiered price limits for Long Gilt Futures and Three Month SONIA Index Futures, Circular 26/110 shows.
The mechanism uses up to three tiers, applying a limit amount to a designated reference price to set boundaries beyond which trading on the central limit order book cannot take place.
TPLs provide “an additional layer of protection, alongside preexisting Interval Price Limits, to reduce the risk of excessive volatility and significant price movements in enabled markets,” ICE said in its FAQ document.
How it works
The reference price for each contract is either the previous session’s settlement price or indicative closing value. When an order attempts to execute beyond the current tier, a one-minute hold period is triggered and explicit trading past that level is blocked. Once the hold ends, the next tier activates and trading resumes within wider limits.
Hold-period notifications are broadcast via WebICE and the iMpact Multicast feed.
ICE has operated tiered price limits for certain contracts since September 2024. The framework sits alongside existing No Cancellation Ranges, Reasonability Limits, and Interval Price Limits, with parameters amendable at the exchange’s discretion.
