August, 2020

ICE Interest Rates Report

August 2020 Highlights

Activity continues to normalise around the world, but increase in COVID-19 cases and concerns over a second wave weighed on market sentiment. Risk assets were boosted by policy response, with business confidence registering moderate rebound.

In Fixed Income, benchmark reform and the transition to alternative risk-free rates (RFRs) remains the key theme. Transition timetables for LIBOR are largely being set by the FCA and the Federal Reserve through their respective financial industry led transition teams - the UK Working Group on Sterling Risk Free Rates and the US Alternative Reference Rate Committee. The development of RFR based futures and options, with the intention to create the broadest multi-currency product suite, is therefore leading our Exchange business development efforts.

Fixed Income finished the month with Average Daily Volume (ADV) of 1.5 million contracts and Open Interest (OI) of 23.6 million contracts.
  • Three Month ICE SONIA Futures posted all-time high OI of £56.74 billion on 13 August
  • Approximately 5% of Sterling STIR futures volume was in the SONIA complex in August
  • Cumulative volume in the contracts exceeds £10 trillion notional
  • Inter-contract spreads (ICS) accounted for 6.3% 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 and represented 28% of volume in the contract
  • 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. 

  • August set a record for ICE SOFR Futures activity with $1.8 trillion notional trading over the period
  • 70% of Three Month SOFR market volume executed on ICE during 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 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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