June, 2019

ICE Interest Rates Report


The rhetoric from Central banks remains firmly dovish. Faced with the risk of economic slowdown amid global trade and political tensions, policy-makers have signalled further stimulus is on the cards. Markets are now pricing in rate cuts in the US and Eurozone before the end of the year.
The backdrop was supportive to the Rates complex. Repricing in the short-end of the curve meant activity in STIRs picked up, with Euribor and Euroswiss futures posting their best month to date in 2019.
Fixed Income finished June with Open Interest (OI) of 24.5 million contracts, +3% YOY. Short Sterling futures continued their strong performance and OI remains at record levels once adjusted for seasonality.
Re-categorisation of the unit of trading for STIR futures

As of 1 July, the unit of trading for all ICE STIRs has been changed such that the contracts are Rate Index Futures. Please refer to Circular 19/088 for additional information

  • £3.1 trillion cumulative notional since launch
  • 3M OI reached record £42.6 billion notional on 17th June
  • Activity in inter-contract spreads is increasing, with new participants entering the market

  • $3.8 trillion cumulative notional since launch
  • June ADV reached $26.4 billion
  • 29% of SOFR futures volume in notional terms executed at ICE during the month, the equivalent of $528 billion notional
  • OI continues to build reaching $47.4 billion in the month driven by increasing OI in the 3M contract

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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