April, 2019
ICE Interest Rates Report
Highlights
While imminent Central Bank policy change appears to be in the distance, geopolitics continues to fuel volatility and the need to transfer risk.
STIR Options are a good example of this, where we have seen Short Sterling Options post the strongest April since 2010.
Fixed Income finished the month with Open Interest (OI) of 26.5 million contracts, an increase of 11% YOY.
- £2.54 trillion notional in volume since launch
- ICE holds 58% of SONIA futures market OI, as measured in notional
- SONIA futures offer liquidity out to Dec 19 in 1M and Mar 22 in 3M
- An increasing number of users utilising inter-contract spreads, which offer basis trading facility against LIBOR
- April saw 5% of all ICE Sterling STIR volume trade in SONIA
- $2.61 trillion notional in volume since launch
- April ADV reached $22.6 billion
- 35% of SOFR futures volume executed on ICE during the month, the equivalent of $475 billion notional
- OI continues to build, reaching a record $52.2 billion in the month
Volumes
| Futures | ||||||
| Apr 2019 ADV | Apr 2018 ADV | Change | OI 2019 | OI 2018 | Change | |
| Euribor | 628,344 | 648,767 | -3% | 4,735,220 | 5,139,460 | -8% |
| Short Sterling | 626,460 | 768,621 | -18% | 3,648,334 | 3,790,612 | -4% |
| Euroswiss | 19,950 | 30,624 | -35% | 367,459 | 406,173 | -10% |
| Long Gilt | 177,373 | 204,755 | -13% | 645,073 | 810,696 | -20% |
| Options | ||||||
| Apr 2019 ADV | Apr 2018 ADV | Change | OI 2019 | OI 2018 | Change | |
| Euribor | 83,346 | 98,653 | -16% | 7,883,696 | 8,329,999 | -5% |
| Short Sterling | 213,606 | 184,825 | 16% | 9,133,866 | 5,325,346 | 72% |
| Long Gilts | 994 | 807 | 23% | 3,841 | 11,983 | -68% |
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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