October, 2020

ICE Interest Rates Report

October 2020 Highlights

The news headlines in October were largely dominated by two topics - the second wave of COVID-19 and the renewed national restrictions imposed to contain the pandemic, and the US elections. With the deadline for Brexit looming, the lack of resolution in the negotiations contributed further to the uncertainty that continues to grip markets. As we enter a fourth quarter characterised by unpredictable events and an unclear economic outlook, Fixed Income markets seem to have gone into wait-and-see mode.

As a result, STIR volumes trended lower in October with Short Sterling futures Average Daily Volume (ADV) coming in at 493,000 and Euribor futures ADV of 586,500. As milestones on the regulatory benchmark reform timeline are reached, there is increased focus on SONIA futures which continued their strong performance. Approximately 13% of Sterling-denominated STIR futures volume at our venue was in the SONIA complex, adjusted for notional. Three Month SONIA futures finished the month at record Open Interest (OI) of £91.5 billion notional equivalent. October was also a record month for Inter-Contract Spreads (ICS) with over 105,000 Three Month SONIA sides trading as part of this strategy against twice as many sides in Short Sterling futures.

The launch date for SONIA options has been confirmed as Monday, 7 December 2020 (subject to satisfactory completion of the relevant regulatory processes). Learn more: Circular | Contract Rules.

We also welcome feedback on the proposal regarding the treatment of open contracts in LIBOR based futures upon the transition away from LIBOR. For more information, please refer to the recent circular issued on the matter or contact the ICE Interest Rates team.

Fixed Income finished the month with ADV of 1.6 million contracts and OI of 25.7 million contracts.
  • Three Month ICE SONIA Futures OI is growing steadily, setting several records over the period. ICE is home to approximately 76% of market OI in SONIA futures, adjusted for notional
  • 13% of Sterling STIR futures volume was in the SONIA complex in October
  • Trading in the ICS was at a record level as we continue to see increased participation from banks and other market participants
  • SONIA options scheduled to launch on Monday 7 December (subject to satisfactory completion of the relevant regulatory processes)

  • $1.3 trillion notional in ICE SOFR Futures activity in October
  • 56% 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

***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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