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.