May, 2020

ICE Interest Rates Report

May 2020 Highlights

COVID-19 continued to dominate the headlines and as economies around the world moved towards a gradual and cautious reopening, positive sentiment buoyed markets.

In the UK, the Bank of England opened the door to the possibility of adopting negative interest rates in the future, as part of measures to aid economic recovery from the considerable initial blow suffered due to the pandemic. UK Government yields continued to fall and went below zero for the first time. The resulting volatility was supportive of our Sterling denominated markets. Short Sterling options performed well with Average Daily Volume (ADV) of 201,000, +34% YOY, as investors turned to these markets to express market sentiment. Benchmark reform products enjoyed increased demand, with 3 Month SONIA futures posting record trading over the period.  

Fixed Income finished the month with ADV of 1.6 million contracts and Open Interest (OI) of 24.3 million contracts.

  • May was a record month for SONIA
  • SONIA ADV was at an all-time high of £67.3 billion notional, which represents 90% of market futures volume over the period
  • 20% of Sterling STIR futures volume was in the SONIA complex
  • Cumulative volume in the contracts is 7.2 million lots, the equivalent of over £8.7 trillion notional
  • OI as of the end of May stood at £63.4 billion notional
  • SONIA 3M Packs and Bundles and Intercontract spreads (ICS) are actively trading

  • Over $9.5 trillion cumulative notional since launch
  • 42% of Three Month SOFR market volume in notional terms executed on ICE during the month
  • SOFR Packs and Bundles began trading in December, 23% of 3M volume in May traded as part of these strategies
  • ICS for Three Month SOFR and Eurodollar futures are also available in the Central Limit Order Bookk

***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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