September, 2020

ICE Interest Rates Report

September 2020 Highlights

In September, markets were dominated by a surge in coronavirus cases around the world and renewed efforts by governments to contain the pandemic and its economic impact. Economic data were mixed with markets generally shifting lower over the month.

In the UK, the lack of progress in the Brexit negotiations alongside the pandemic have heavily influenced Bank of England (BoE) policy expectations. The resultant heightened volatility has been supportive of the Short Sterling franchise, which saw Average Daily Volumes (ADV) of over 1.1 million contracts across futures and options. SONIA futures also gained, with Open Interest (OI) at record levels and liquidity developing further out the curve, mostly in the Greens and Blues but currently there is OI all the way out to Jun26.

Fixed Income finished the month with Average Daily Volume (ADV) of 2.1 million contracts and OI of 24.1 million contracts.
  • Three Month SONIA futures OI is growing steadily, setting a record on almost every day since mid-September. ICE is home to approximately 70% of market OI
  • 6% of Sterling STIR futures volume was in the SONIA complex in September
  • Cumulative volume in the contracts stands at £11 trillion notional
  • ICS accounted for a record 8% 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 expected to launch in the coming months, 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.

  • SOFR Futures had record activity in August in terms of volume traded, in September they posted $1.7 trillion notional in activity
  • Approximately 60% of Three Month SOFR market volume executed on ICE YTD
  • 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

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


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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