January, 2020

ICE Interest Rates Report


Markets were off to a volatile start in 2020. Heading into the most recent Monetary Policy Committee (MPC) meeting in January, financial markets were pricing in a 50% chance of a rate cut. The uncertain outcome provided strong tail winds for the Short Sterling franchise, pushing Open Interest (OI) in futures to an all-time-record of 4,605,392. The backdrop proved supportive of options as well which posted Average Daily Volume (ADV) of 476,000.

ICE SONIA Futures continued to perform strongly: the One Month contract saw record activity in January, with investors using the product to manage rates risk. The equivalent of £42 billion notional traded on 30 January, making it the highest volume day in the contract’s history. 

Participation in Packs and Bundles (P&B) is growing, 32% of Three Month SONIA lots traded as part of these strategies over the month. P&B are a strategic piece of the benchmark reform offering available at ICE and they are part of the many tools and trading strategies created to support market adoption of the new rates.

Fixed Income finished the month with OI of 29.2 million contracts, +18% YOY.

  • Record volume month for One Month SONIA futures
  • ADV in the complex was at an all-time high of £26.5 billion notional
  • 76% of SONIA futures market OI is on ICE, growing to £128 billion at the end of the month
  • 32% of Three Month SONIA volume was traded as part of P&B strategies 
  • SONIA futures offer liquidity to August 2020 in the One Month and September 2022 in Three Month

  • Over $8.0 trillion cumulative notional since launch
  • 37% of Three Month SOFR market volume in notional terms executed on ICE
  • Activity in P&B grew, accounting for 5% of volume in the Three Month contract
  • The complex finished the month with OI at $78 billion notional
  • SOFR futures offer liquidity to August 2020 in 1M and March 2022 in 3M

***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)”.

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