ICE Interest
Rates Report

March 2021 Highlights

March marked further significant milestones on the benchmark reform timeline. On March 5, the Financial Conduct Authority (FCA) published a formal announcement on the future cessation and loss of representativeness of LIBOR panels. For all GBP and CHF LIBOR benchmarks, the date was confirmed as December 31, 2021. Later in the month, ICE Futures Europe published its LIBOR Transition Plans, marking the start of a 2-week consultation period. The consultation closed on April 2 and the Transition Plans are now final. Find out more about the treatment of Futures and Options referencing LIBOR at year-end 2021 here: ICE Futures Europe LIBOR Transition Fallback

Three Month SARON® Index Futures were relaunched on March 1, 2021. SARON Futures are available to trade in the Central Limit Order Book (“CLOB”) with a contract size equivalent and functionality mirroring that which is available in the Three Month Euro Swiss Franc (EuroSwiss) Futures complex. View the SARON Contract Specs >

Fixed Income finished the month with Average Daily Volume (ADV) of 2.2 million contracts. Open Interest (OI) in the complex was 27.3 million contracts, +26% YoY.
  • Long Gilt futures are the highly liquid market benchmark for the intermediate term UK government bond yield curve
  • The futures posted their highest volume in a non-roll month in a year, ADV coming in at 257,000 contracts
  • OI at the end of March stood at 649,500 contracts which marks an increase of 58% on the same period last year
  • 28% of Three Month Sterling STIR futures activity was in SONIA over the month
  • The SONIA complex continues to set OI records, the 3M SONIA future posted an all-time high OI on 9 March of 219,500 contracts
  • 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
  • SONIA Options and mid-curves product specifications
  • $1.3 trillion notional in SOFR activity in March
  • 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 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
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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