May, 2019

ICE Interest Rates Report

Highlights

Brexit uncertainty and changes in expectation of Fed policy continue to influence the short end of the Sterling curve. In the last quarter, expectations of Bank of England action by year end have evolved from a 30% chance of a hike to 20% chance of a cut.

Short Sterling futures and options continue to drive gains, with OI in the complex rising 48% YOY to reach 13.7 million contracts. Short Sterling futures have been at a record OI for most of the year, seasonality adjusted, and finished May at over 4 million contracts. Options OI marked a 10 year high at 9.6 million contracts.

Fixed Income finished May with Open Interest (OI) of 27.6 million contracts, an increase of 7% YOY.

With £3.0 trillion notional in volume since launch Dec 1, 2017, ICE SONIA Futures continue to gain strength.

  • May saw 5% of all ICE Sterling STIR volume trade in SONIA
  • 64% of SONIA futures volume in notional was executed at ICE in May, the equivalent of £426 billion
  • ICE holds 59% of SONIA futures market OI in notional
  • SONIA futures offer liquidity to Dec 19 in 1M and Mar 22 in 3M

$3.6 trillion notional has traded since launch May 7, 2018 in ICE SOFR Futures.

  • May reached a record ADV of $31.7 billion
  • 32% of SOFR futures volume in notional executed at ICE in May, the equivalent of $697 billion
  • OI hit a record $53.0 billion in the month, driven by increasing OI in the 3M contract



Volumes


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