ICE Interest
Rates Report

February 2021 Highlights

Throughout February, bond yields across key jurisdictions rose sharply to their highest levels since before the COVID-19 crisis. This increase was primarily driven by improved growth prospects and shift in expectations for accelerated policy normalization. As a result of the rate selloff, Fixed Income markets saw a flurry of activity, with Short Sterling, SONIA and Long Gilts enjoying record performance. Short Sterling futures and options, the benchmark for managing UK interest rate risk, posted their strongest performance in a year and finished the month at record Open Interest (OI), crossing 20 million contracts for the first time. The SONIA complex, the RFR-equivalent, also saw a surge in volumes and strong expansion.

Fixed Income finished the month with Average Daily Volume (ADV) of 3.1 million contracts, +19% YoY. OI in the complex was 30.2 million contracts.

1 March saw the relaunch of SARON futures, the RFR benchmark for the Swiss Franc (CHF). The contracts were made available in the Central Limit Order Book (CLOB) and with a unit of trading of CHF 2,500 or CHF 1 million notional equivalent, their size is now aligned to Euroswiss futures. Access contract specifications
  • Long Gilt futures are the highly liquid market benchmark for the intermediate term UK government bond yield curve
  • The futures posted their highest volume month in their 20+ year history with ADV coming in at 459,000 contracts
  • Long Gilts reached a single day volume record of 1.91 million contracts on 23 February, almost doubling the previous record figure set in 2018
  • OI at the end of February stood at 575,000 contracts which marks an increase of 23% since the start of the year
  • 22% of Three Month Sterling STIR futures activity was in SONIA over the month
  • 25 February set the all-time volume record in Three Month SONIA with 391,000 contracts. 4 out of the top 5 volume days in the contract were in the last week of February
  • The SONIA complex finished February at a record OI of £210.5 billion notional equivalent
  • 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, continued to grow steadily
  • Access SONIA Options and mid-curves product specifications
  • $1.01 trillion notional in SOFR activity in February
  • ICS 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 the Exchange’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
***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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