ICE Interest
Rates Report

June 2021 Highlights

Activity across all Fixed Income futures and options was robust in June. The complex finished the month with an Average Daily Volume (ADV) of 2.1 million contracts, +34% YoY, and Open Interest (OI) of 27.9 million contracts, 32% YoY.

In the UK, the benchmark reform project is now entering the final stages of transition away from LIBOR. From 17 June, the FCA and the Bank of England encourage participants to use SONIA for GBP exchange traded derivatives, marking another key milestone on the transition roadmap.

Against this backdrop, SONIA futures and options posted record performance over the period. ADV in Three Month SONIA futures reached 184,000 in June, with 37% of market GBP risk exchanged in SONIA, adjusted for notional. Volume in SONIA options was a total of 64,000 contracts attracting a diverse and growing participant mix. SONIA mid-curves are now trading, accounting for 2.4% of volume. OI in the SONIA complex also continued to grow, setting records on almost a daily basis. It finished the month at a total of 338,000 futures and options.

June saw the first trades in Three Month SARON ® Index futures, the RFR benchmark for CHF. 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
  • Long Gilt futures are the highly liquid market benchmark for the intermediate term U.K. government bond yield curve
  • ADV in June was 230,000 contracts
  • OI at the end of June stood at 698,000 contracts which marks an increase of 43% on the same period last year
  • A record 37% of Sterling STIR futures activity was in Three Month SONIA Index futures over the month. On a number of days over the month volumes in SONIA futures exceeded Short Sterling, adjusted for notional.
  • 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 approximately 161,000 contracts. Mid-curve options are now trading.
  • SONIA Options and mid-curves product specifications
  • ICE was home to 23% 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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