December, 2019

ICE Interest Rates Report


The global industry transition to alternative reference rates (“RFR”) intensified in 2019. ICE is a leading venue for benchmark reform listed products, committed to creating the broadest multi-currency product suite. ICE SONIA and SOFR Futures offer economically efficient and transparent access to RFR liquidity, with the equivalent of over $15 trillion notional traded since launch. To complete the existing offering, SARON and €STR were added to the suite earlier in 2019.

ICE SONIA and SOFR Packs and Bundles (“P&B”) became available on 9 December. The functionality provides new trading opportunities and delivers a strategic tool for supporting the market adoption of the new rates. 1.4% of 3M SONIA lots since the launch were traded as part of P&B strategies. Focus has now shifted to the launch of ICE SONIA Options as the next key milestone in the transition.

Fixed Income finished the year with Open Interest ("OI") of 24.7 million contracts, +1% YOY.

- New firms continue to join the market with over 80 unique entities participating since launch
- Cumulative volume since relaunch is 315,000 options
- 15% of volume executed on screen during the year
- Market makers provide liquidity, with support for both on-screen and block trading

  • £5.2 trillion cumulative notional since launch
  • CE is home to 73% of SONIA futures market OI. Combined OI peaked at £139.8 billion at the end of November
  • SONIA futures offer liquidity to May 2020 in 1M and September 2022 in 3M

  • $7.6 trillion cumulative notional since launch
  • 40% of 3M SOFR futures volume in notional terms executed at ICE during the year
  • OI reached record levels in both the 1M and 3M contract in December, peaking at $105.3 billion combined notional in the complex
  • SOFR futures offer liquidity to July 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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