November, 2020

ICE Interest Rates Report

November 2020 Highlights

Amid restrictions and national lockdowns across most of Europe, markets in November were buoyed by hopes of several COVID-19 vaccines being rolled out over the coming weeks. The breakthrough drove investor optimism that recovery may be accelerated and that a return to some form of economic normality was in sight. In any case, the challenges faced by policy makers remain significant with policy set to remain ultra-accommodative for a long time to come.

The key theme dominating Fixed Income is benchmark reform. The deadline for the cessation of LIBOR is edging closer and several key milestones on the transition timeline have now passed. This has created a renewed urgency and as a result, products based on alternative risk-free rates (RFR) enjoyed record performance over the period. Three Month SONIA futures set several Open Interest (OI) records finishing the month at an all-time high of £110 billion notional equivalent. Approximately 16% of Sterling-denominated STIR futures volume on ICE was in the SONIA complex, adjusted for notional. In November, cumulative notional in the SOFR complex was $1.25 trillion. 53% of Three Month SOFR futures market volume was executed on ICE YTD.

Fixed Income finished the month with ADV of 1.7 million contracts, +3% YoY. OI in the complex was 27.3 million contracts.
Options and Mid-Curves on Three Month SONIA futures launched on 7 December. Learn more>

  • Three Month SONIA futures OI is growing steadily, setting several records over the period. ICE is home to approximately 74% of market OI in SONIA futures, adjusted for notional
  • 16% of Sterling STIR futures volume was in the 3M SONIA complex in November
  • Trading utilizing the Asset Allocation facility and Inter-Contract spreads (ICS) continues to grow, allowing for the execution of SONIA and LIBOR basis trades as a single transaction 
  • $1.25 trillion notional in SOFR activity in November
  • 53% 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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