ICE Interest
Rates Report

August 2021 Highlights

Fixed Income futures and options enjoyed strong performance over the period against a backdrop of improved economic sentiment. The complex finished the month with an average daily volume (ADV) of 1.5 million contracts, and open interest (OI) of 29.8 million contracts, 26% YoY.

As we edge closer to 31 December 2021, the date when the GBP and CHF LIBOR rates will cease to be published, we are seeing accelerated growth in activity in risk free rates (RFRs). The SONIA complex posted a sharp increase in OI, doubling over the period to a total of 1.3 million futures and options contracts. SONIA options enjoyed their best monthly performance to date; ADV reached 27,000 contracts representing 36% of market GBP options activity when adjusted for notional.

August also saw record trading in Three Month SARON ® Index futures, the RFR benchmark for CHF. OI stood at 7,008 contracts at the end of the month. The contracts are available in the central limit order book (CLOB). All functionality available in Euroswiss futures has been mirrored. Inter contract spreads (ICS) between the two contracts were made available as part of the recent relaunch of SARON futures. Contract Specs for more information.
  • Long Gilt futures are the highly liquid market benchmark for the intermediate term U.K. government bond yield curve
  • ADV in August was 357,045 contracts
  • OI at the end of August stood at 743,066 contracts, which marks an increase of 42% on the same period last year. This is the highest month-end OI in almost 2 years
  • 28% of Sterling STIR futures activity was in Three Month SONIA Index futures over the month
  • SONIA futures OI set a new record every day over the period. SONIA futures now represent 20% of 3M GBP futures OI
  • Market participants are actively making use of the asset allocation facility and inter-contract spreads, allowing for the executing of SONIA and LIBOR basis trades as a single transaction
  • Cumulative volume in SONIA Options is now approaching 1 million contracts. Mid-curve options are now actively trading
  • SONIA Options and mid-curves product specifications.
  • LIBOR Transition Questions & Answers Document is available here.
  • ICE was home to 29% of all SOFR futures activity adjusted for notional
  • 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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