ICE Interest
Rates Report

April 2021 Highlights

The global economy continues to grapple with COVID-19. However, the rapid rollout of vaccinations in the U.K. and U.S., and more recently Europe, has buoyed market sentiment, where investors are looking ahead to a sustained reopening of their economies.

While policy across these jurisdictions is set to remain ultra-accommodative for a long time, the ICE Fixed Income franchise performed well against this backdrop of improved economic outlook. The shift in expectations drove activity in the EURIBOR complex in particular, with options Average Daily Volume (ADV) of 176,000 the highest in almost a year. The benchmark reform process is also progressing decisively and as a result, more users are starting to engage with RFR products. SONIA Options were the last product to be added to the suite last December, with recent weeks seeing the complex start to gain traction. To support market participants as they prepare for benchmark reform, we recently held a webinar to provide an update on the transition and highlight tools available to manage the shift. Access the replay.

ICE Fixed Income finished the month with ADV of 1.7 million contracts. Open Interest (OI) in the complex was 30.3 million contracts, +33% YoY.
  • Long Gilt futures are the highly liquid market benchmark for the intermediate term U.K. government bond yield curve
  • ADV in April was 231,700 contracts
  • OI at the end of April stood at 695,000 contracts which marks an increase of 67% on the same period last year
  • 26% of Three Month Sterling STIR futures activity was in SONIA over the month
  • Volumes traded via the Asset Allocation facility and Inter-Contract Spreads, allowing for the executing of SONIA and LIBOR basis trades as a single transaction, remain strong
  • Cumulative volume in SONIA Options is 67,800
  • SONIA Options and mid-curves product specifications
  • $1.4 trillion notional in SOFR activity in April
  • Inter-Contract Spreads 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 trade alongside the full suite of ICE's Fixed Income and RFR futures and options and offer a margin efficient way to manage exposure in the short-term end of the USD curve
Volumes
***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
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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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