April, 2020

ICE Interest Rates Report

April 2020 Highlights

COVID-19 continues to grip the world and uncertainty around the resolution of the crisis weighs on the global economy. With interest rates at record lows and set to remain unchanged for the foreseeable future, volatility in fixed income markets reduced significantly since its peak in March.

Against a backdrop of risk-off sentiment, volumes in parts of the complex have retracted from recent highs. Euribor futures and options continued their strong performance into April with volumes up 24% and 159% respectively YOY. SONIA futures saw another record month, with Average Daily Volume (ADV) over the period exceeding £45.5 billion. The contracts offer efficient and transparent access to RFR liquidity with approximately 90% of SONIA futures market volume transacted at ICE.

Fixed Income finished the month with ADV of 2.4 million contracts and Open Interest (OI) of 22.9 million contracts.

  • April was a record month for SONIA
  • April saw 4 out of the top 5 record volume days in the Three Month contract, with ADV reaching an all-time high of £44.2 billion notional
  • Cumulative volume in the contracts was 6 million lots, the equivalent of over £7.4 trillion notional
  • Inter-contract spreads (ICS) accounted for 3% of volume YTD
  • OI as of the end of April stood at £71.8 billion notional
  • SONIA futures offer liquidity to November 2020 in the One Month and March 2024 in Three Month

  • Over $9.1 trillion cumulative notional since launch
  • 30% of Three Month SOFR market volume in notional terms executed on ICE
  • The complex finished the month with OI at $28.0 billion notional 
  • SOFR Packs and Bundles began trading in December
  • ICS for Three Month SOFR and Eurodollar futures are also available in the Central Limit Order Book

***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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