October, 2019

ICE Interest Rates Report


Brexit uncertainty continues to fuel volatility. ICE offers strong liquidity in UK rates, with investors able to buy protection and manage risk exposure in times of stress. As a result, the Short Sterling complex continued its expansion; Open Interest (“OI”) in futures and options hit a record 18.8 million contracts during the month.

SONIA futures also enjoyed strong performance, with the next milestone being the development of an options market in the first half of 2020. Interested in providing feedback on SONIA options? Please get in touch

Fixed Income finished October with OI of 31.7 million contracts, +16% YOY.
ICE recently introduced Inter-Contract Spreads (“ICS”) and implied pricing for the Short, Medium and Long Gilt futures. Circular 19/128
Long Gilt Future
The Long Gilt future is the benchmark for the intermediate term of the UK Sovereign yield curve; the new ICS functionality will support product suite liquidity
Single Transaction
Implementation of DV01 neutral ICS markets allow participants to execute steepening / flattening curve trades in a single trade, eliminating legging risk linked with multiple transactions

Benchmark Reform
The Sovereign curve will play an important role in benchmark reform, providing risk management tools and new trading opportunities with GBP LIBOR, SONIA and the broader rates complex
The relaunch date for GBP ERIS futures is 9 December 2019. The ERIS methodology allows for the economics of over-the counter (“OTC”) interest rate swaps to be replicated in a listed futures format. The contracts were suspended to facilitate a methodology change and will be restructured to reference SONIA as underlying floating payment rate. This adds another strategic product to the ICE suite of benchmark reform products. For further information, please refer to Circular 19/179
GILT Options >>
  • 80+ unique entities participating in the market since relaunch
  • October had the highest volumes of the year so far with 23,400 contracts traded
  • 20% of volume executed on screen over the last 3 months, with Market Makers providing support for block trading

  • £4.7 trillion cumulative notional since launch
  • ICE is home to 75% of SONIA futures market OI
  • Combined OI peaked at £136.7 billion during the month
  • SONIA futures offer liquidity to May 2020 in 1M and September 2022 in 3M
  • Activity in inter-contract spreads grew as a larger number of participants utilised functionality

  • $6.6 trillion cumulative notional since launch
  • September ADV reached $31.5 billion
  • 46% of 3M SOFR futures volume in notional terms executed, the equivalent of $399 billion notional
  • SOFR futures offer liquidity to June 2020 in 1M and December 2021 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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