August, 2019

ICE Interest Rates Report


Geopolitics continue to fuel volatility in fixed income markets, with August average daily volume (“ADV”) reaching 2.2 million contracts, up 12.4% year-on-year.

Ongoing Brexit uncertainty continues to influence the short end of the Sterling curve. Investors are turning to ICE markets to manage their risk exposure, which continues to push higher open interest (“OI”) in Short Sterling. During the month, futures hit an all-time record of 4.5 million and August 30 saw the highest OI in the Short Sterling complex of 14.8 million futures and options.

Building on the existing Sterling offering, inter-contract spreads in Gilt futures will be launching in Q4 2019. This will promote the further development of the UK sovereign curve, providing new trading opportunities and efficiency. For more information, read Circular 19/128.

Fixed Income finished July with Open Interest (OI) of 28.8 million contracts, +9% YOY.

  • £4 trillion* cumulative volume since launch
  • With new participants joining the markets, OI is building steadily and reached an all-time high equivalent of £110.5 billion on August 13, driven by a record in the 1M contract
  • ICE is home to 69% of SONIA futures market OI
  • Activity in inter-contract spreads continues to grow, representing 8% of 3M volume in August

  • SOFR futures continue to attract new participants, contributing to a record OI equivalent of $66.9 billion on August 27 & record single-day volume in the 3M of $48.8 billion on August 7
  • $5.3 trillion cumulative volume since launch
  • August ADV reached $36.9 billion
  • 28% of SOFR futures volume executed at ICE 

*The SONIA and SOFR contracts are Rate Index futures, as such this is the equivalent of approximately £1 trillion notional. Values in this document utilise the historical interpretation of notional.

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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