July 2020 Highlights
Benchmark reform continues at full steam over the summer months. Rhetoric and preparations on both sides of the Atlantic are intensifying as we edge closer to the deadline at the end of 2021.
As firms prepare for the transition, momentum is driving growth and increased participation to SONIA and SOFR markets. Cumulative notional in RFR futures now exceeds the equivalent of $25 trillion since the products were launched. At the start of August, Three Month SONIA futures posted all-time high Open Interest (OI) of £56.3 billion notional while July saw record volume in Inter-contract spreads (ICS). The functionality allows users to execute Short Sterling and Three Month SONIA futures as a single transaction, eliminating legging risk and providing new trading opportunities.
ICE is a leading venue for listed RFRs, committed to creating the broadest multi-currency product suite to service its users. Together, these contracts provide liquid, efficient and transparent markets to trade and hedge RFRs alongside Euribor, Short Sterling, Gilts and other interest rate benchmarks.
Fixed Income finished the month with Average Daily Volume (ADV) of 1.3 million contracts and OI of 22.4 million contracts.