February, 2019
ICE Interest Rates Report
Highlights
- Open Interest (OI) across Fixed Income stood at 28.4 million contracts, +8% YOY
- OI across both future and options is trending upwards, 4% and 10% respectively YOY
- STIR options continued to enjoy strong performance. Volumes in both Euribor and Short Sterling remain robust, supplemented by volume generated from new market participants
- Cumulative volumes since relaunch reached 200,000
- 65+ unique entities have participated in the market
- 17% of volume executed on screen over the last 3 months
- Market makers providing support for both on-screen and block trading, with liquidity throughout the trading day
- Long Gilt options offer flexibility beyond futures that allow investors to take advantage of price volatility or hedge against unfavourable price movements
- SONIA ADV almost doubled from the previous month
- In the 3M contract, 18th February saw record daily volume of £54.9 billion. OI continued to build, finishing the month at an all-time high of £27.4 billion
- Volume across SONIA futures was the equivalent of £378 billion notional in February, bringing the total to over £1.7 trillion since launch
- At £70 billion, ICE holds 65% of market OI
- $1.5 trillion in volume since launch
- 26th February record day in 3M SOFR with $43.2 billion notional trading
- 30% of SOFR futures volume executed on ICE during the month, the equivalent of $415 billion notional
- OI in the 3M contract out to Mar 21 expiry
Volumes
| Futures | ||||||
| Feb 2019 ADV | Feb 2018 ADV | Change | OI 2019 | OI 2018 | Change | |
| Euribor | 731,388 | 901,387 | -19% | 5,088,708 | 5,181,754 | -2% |
| Short Sterling | 667,548 | 1,078,266 | -38% | 4,106,862 | 3,580,954 | 15% |
| Euroswiss | 19,062 | 24,828 | -23% | 326,003 | 389,798 | -16% |
| Long Gilt | 332,129 | 329,156 | 1% | 781,877 | 750,169 | 4% |
| Options | ||||||
| Feb 2019 ADV | Feb 2018 ADV | Change | OI 2019 | OI 2018 | Change | |
| Euribor | 121,323 | 105,641 | 15% | 8,990,632 | 8,833,116 | 2% |
| Short Sterling | 199,541 | 227,979 | -12% | 9,046,138 | 7,536,517 | 20% |
| Long Gilts* | 559 | 437 | 28% | 3,938 | 2,300 | 71% |
Key Information Documents for certain products covered by the EU Packaged Retail and Insurance-based Investment Products Regulation can be accessed on the relevant exchange website under the heading “Key Information Documents (KIDS)”.
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