July, 2020

ICE Interest Rates Report

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.

  • Approximately 11% of Sterling STIR futures volume was in the ICE SONIA Futures complex in July
  • Cumulative volume in the contracts has crossed through £10 trillion notional
  • Inter-contract spreads posted a record month, accounting for 5% of Three Month SONIA volume as we see increased participation from banks and other market participants
  • Three Month SONIA Packs and Bundles are actively trading
  • SONIA options are in the pipeline, subject to the completion of relevant regulatory processes. They will be the last piece to add to the offering to deliver the full range of functionality to our users as currently available in other well-established STIR markets. 

  • July was a record month for Three Month ICE SOFR Futures with $1.6 trillion notion trading over the period, representing 74% of total market volume
  • YTD over 50% of Three Month SOFR market notional executed on ICE
  • ICS for 3 Month SOFR and Eurodollar futures are also available in the Central Limit Order Book
  • SOFR futures minimum price fluctuation is 0.0025 or $25 throughout the strips
  • The contracts offer a margin efficient way to manage exposure in the short-term end of the USD curve

***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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