ICE Interest
Rates Report

May 2021 Highlights

Economic momentum showed signs of acceleration in May with encouraging data coming from the U.K., Europe and the U.S. Market sentiment was buoyed as vaccine roll-out picked up pace and restrictions on social and economic activity continued ease.

The ICE Fixed Income complex enjoyed strong performance over the period against a backdrop of improved economic outlook and the ever so slight prospect for sooner than anticipated policy tightening in some jurisdictions. All STIRs posted strong volumes with EURIBOR futures and options leading the way, with Average Daily Volume (ADV) of 700,500 and 174,000 contracts respectively, +43% and +53% YoY.

Benchmark reform efforts continue full steam ahead. Earlier in the month, the FCA and the Bank of England reiterated that market participants should cease initiation of new GBP LIBOR exchange traded derivatives from June 17, marking a key milestone on the transition roadmap. The Three Month SONIA Index futures and options franchise grew in May, reaching a record combined Open Interest (OI) of 313,102 contracts on May 24.

ICE Fixed Income finished the month with ADV of 2.0 million contracts, +27% YoY. Open Interest (OI) in the complex was 32.2 million contracts, +33% YoY.
  • Long Gilt futures are the highly liquid market benchmark for the intermediate term U.K. government bond yield curve
  • ADV in May was 344,258 contracts
  • OI at the end of May stood at 700,034 contracts which marks an increase of 35% on the same period last year
  • A record 35% of Sterling STIR futures activity was in Three Month SONIA Index futures over the month
  • Market participants continue to make 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 100,000 contracts.
  • SONIA Options and mid-curves product specifications
  • $1.9 trillion notional in SOFR activity in May
  • ICE was home to 34% of all SOFR futures activity adjusted for notional
  • Three Month SOFR Index futures set an all-time high OI of 13,255 contracts on May 19, $53 billion notional equivalent
  • 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    

***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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