ICE Interest
Rates Report
January 2021 Highlights
Activity in Fixed Income Futures and Options was robust in January. Fixed Income finished the month with Average Daily Volume (ADV) of 1.8 million contracts. Open Interest (OI) in the complex was 25.8 million contracts.
The benchmark reform project continued to gather steam. SONIA futures enjoyed record performance over the period. With ADV of 66,000 in the Three Month SONIA contract, 20% of Three Month GBP risk traded in SONIA in January. The top three volume days were in the last week of January, following the ISDA fallbacks coming into effect and comments made by the FCA that markets should not expect much delay in the announcement of the cessation of LIBOR. The SONIA complex OI also continued to grow, finishing the month at £191 billion notional equivalent. SOFR futures also saw gains. Cumulative volume in the contracts now exceeds $21 trillion notional and they finished January at an all-time high combined OI of $124 billion notional equivalent.
Against a backdrop of record-low yields, Gilt futures posted ADV of 214,000 contracts, +1% YoY. OI has also been trending upwards over the last few months. This is testament to the contracts continuing to attract a solid customer mix.
SARON futures were suspended to undergo a restructuring process. Changes will include opening the Central Limit Order Book (CLOB) and the introduction of Inter Contract Spreads (ICS) with Euroswiss futures. The size of the contracts will be adjusted to have a unit of trading of CHF 2,500 or CHF 1 million notional equivalent, which would make SARON the same size as the Euroswiss futures. The relaunch is scheduled for 1 March 2021, subject to completion of the relevant regulatory processes.
ERIS futures were relaunched on 1 February 2021. Both the EUR and GBP ERIS contracts were restructured to incorporate the use of RFRs. ERIS futures complement the existing STIR offering and provide an alternative tool to gain exposure to RFRs, and in particular SONIA. For further information, please refer to the ERIS product specifications.
- Three Month SONIA futures OI is growing steadily
- The complex finished January at a record OI of £191 billion notional equivalent
- ICE is home to approximately 79% of market OI in SONIA futures, adjusted for notional
- 20% of Three Month Sterling STIR futures volume was in the SONIA complex in January
- Growing volumes traded via the Asset Allocation facility and Inter-Contract spreads, allowing for the executing of SONIA and LIBOR basis trades as a single transaction
- SONIA Options and mid-curves launched on 7 December. Access product specifications
- $1.03 trillion notional in SOFR activity in January
- OI in the complex stood at a record $124 billion notional equivalent by the end of the month
- ICS for 3 Month SOFR and Eurodollar futures are available in the Central Limit Order Book
- SOFR futures minimum price fluctuation is 0.0025 or $25 throughout the strips
- The contracts trade alongside the full suite of ICE Fixed Income and RFR futures and options and offer a margin efficient way to manage exposure in the short-term end of the USD curve
Volumes
***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
Connect with ICE
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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