ICE Interest
Rates Report

December 2021 Highlights

While characterized by uncertainty and challenges, 2021 was a strong year for financial markets. Global economies demonstrated their ability to adapt to the ever-changing landscape of the pandemic, while the rollout of vaccines, accommodative monetary policy and the additional fiscal stimulus were supportive of the market performance.

December saw the last stage of the transition away from LIBOR rates. Over the weekend following close of business  Dec. 17, ICE Futures Europe and ICE Clear Europe converted open interest (OI) of 3.7 million lots of Short Sterling and Euroswiss contracts into their RFR equivalents. Through continued innovation and by working closely with our users, SONIA and SARON markets have been established as the leading listed products for managing U.K. and Swiss interest rate risk offered as part of ICE’s wider multi-currency rate product suite. In the new year, business development efforts will be focused on building further on the existing momentum and continuing to deliver innovative solutions for our users in STIRs and beyond.

Activity across the Fixed Income complex was robust in December. Volumes in Euribor futures and options were +5% and +273% on the same period last year, bolstered by rate policy trajectories shifting. Other contracts also benefited from the heightened volatility in markets. Long Gilts futures performed well with average daily volume (ADV) of 191,300 while SOFR futures enjoyed an uptick in volumes tracking at +7% YoY.

Fixed income finished 2021 with ADV of 2.0 million contracts, +6% YoY. OI in the complex was 19.3 million contracts.
  • Conversion from Short Sterling products to SONIA has now been successfully completed
  • As a result, SONIA futures enjoyed record OI. As of Dec. 31, futures OI in the products was 2.2 million and 4.8 million in options
  • SONIA has now been established as the benchmark for GBP rates facilitated by a smooth transition away from LIBOR products
  • The benchmark reform process continues to gain momentum as markets participants prepare for the cessation of USD LIBOR
  • ICE was home to 14% of market SOFR futures activity adjusted for notional
  • Inter-Contract Spreads for 3 Month SOFR and Eurodollar futures are available in the central Llmit 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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