June, 2020

ICE Interest Rates Report

June 2020 Highlights

Governments around the world continue to struggle with the fallout of COVID-19. While progress continues, it is slow with certain parts of the world facing a spike in cases and forcing the re-introduction of lockdown measures. Uncertainty has gripped markets, in turn hampering economic recovery.

Key product development remains focused on benchmark reform, with both the SONIA and SOFR franchises experiencing significant growth, posting record volumes in Q2.

Fixed Income finished the month with Average Daily Volume (ADV) of 1.5 million contracts and Open Interest (OI) of 21.1 million contracts.

  • The ICE SONIA Futures complex continues to grow
  • Approximately 12% of Sterling STIR futures volume was in the SONIA complex
  • Cumulative volume in the contracts exceeds 7.9 million lots, the equivalent of over £9.4 trillion notional
  • 3 Month SONIA Packs and Bundles and Intercontract spreads (ICS) are actively trading
  • The launch of 3 Month SONIA options is targeted for later this year, subject to the completion of relevant regulatory processes. This will complete the offering, delivering the full range of functionality to our users as currently available in other well-established STIR markets. g

  • June was a record month for 3 Month ICE SOFR Futures volumes
  • Over $10.8 trillion cumulative notional has now traded since launch
  • 69% of Three Month SOFR market volume in notional terms executed on ICE in June
  • ICS for 3 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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