February, 2020

ICE Interest Rates Report


The spread of the coronavirus dominated headlines; fears over a major global outbreak and the resultant economic slowdown have gripped markets and have quickly become the key macro-economic driver. Interest rate cut expectations have shot up as central banks across the world are pledging action to alleviate the risks and potential hit from the spread of the virus. Changes in rate expectations have driven strong volumes in Short-Term Interest Rates (STIRs), especially over the second half of the month. Short Sterling posted all-time high Open Interest (OI) of 4.7 million contracts on February 27.

Fixed income futures finished the month with Average Daily Volume (ADV) of 2.6 million and OI of 31.1 million contracts, an increase of 23% and 10% YOY respectively.

  • Record activity in One Month SONIA futures, with OI peaking at 31,002 contracts at the end of February, the equivalent of £93 billion notional
  • Since launch, 4.9 million SONIA contracts have traded and cumulative notional now exceeds £6.3 trillion
  • ICE is home to 70% of SONIA futures market OI
  • 5% of Three Month SONIA volume was executed via Inter-contract spreads (ICS), while Packs and Bundles continue their strong performance
  • SONIA futures offer liquidity to September 2020 in the One Month and December 2022 in Three Month

  • Over $8.7 trillion cumulative notional since launch
  • 37% of Three Month SOFR market volume in notional terms executed on ICE over the month
  • Activity in Packs & Bundles remained at around 4% of volume in the Three Month contract
  • The complex finished the month with OI at $57.5 billion notional
  • SOFR futures offer liquidity to August 2020 in the One Month and March 2022 in the Three Month

***All STIR Futures are now Rate Index futures. Notional values in this document are for illustrative purposes only. They use the historical interpretation of notional, the unit of trading represented based on a notional deposit

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)”.

© 2020 Intercontinental Exchange, Inc. All rights reserved. Intercontinental Exchange and ICE are trademarks of Intercontinental Exchange, Inc. or its affiliates. For more information regarding registered trademarks see: intercontinentalexchange.com/terms-of-use