March 2024
ICE Interest Rates Report
Gain the latest trends and insights with our monthly newsletter on ICE's Rates market.
Interest Rate Derivatives
The largest marketplace for U.K. and European interest rates futures and options including Euribor, SONIA, Gilts and SARON futures
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Euribor Futures and Options
SONIA Futures and Options
SARON Futures
Long Gilt Futures
Interest rates contract performance
| Product code | Ticker | Mar 24' ADV | YTD ADV | Open interest | |
|---|---|---|---|---|---|
| Euro Rates | |||||
| Euribor Futures | I | ERA | 1,368,512 | 1,384,506 | 4,107,217 |
| Euribor Options | I, K, K2, K3, K4, K5 | ER | 352,425 | 410,653 | 10,852,657 |
| ESTR Futures | ER3 | TKYA | 49,318 | 29,478 | 62,879 |
| UK Rates | |||||
| SONIA Futures | SO3 | SFIA | 542,065 | 527,432 | 2,090,183 |
| SONIA Options | SO3, SY1, SY2, SY3, SY4 | SFI | 132,604 | 142,643 | 4,418,312 |
| Long Gilt Futures | R | GA | 240,851 | 264,553 | 630,477 |
| Long Gilt Options | R | GA | 516 | 520 | 2,381 |
| Swiss Rates | |||||
| SARON Futures | SA3 | SSYA | 41,835 | 33,966 | 236,529 |
| US Rates | |||||
| Rate Lock | 30C | VAIA | 1,176 | 1,091 | 936 |
* Launched ESTR: Nov. 1, Gilt Options: Aug. 1.
Product highlights
Euro Rates - Euribor and €STR
March was a strong month for ICE’s Euro franchise with Euribor futures volumes hitting 27.3 million contracts. Open interest (OI) was down 10% (March contract expiration) vs year end, but still a healthy 4.1 million contracts. Euribor options volumes reached 7 million contracts down 16% MoM after an exceptionally good start in January. Average daily volumes (ADV) was 352k, a 12% MoM decrease. OI at 10.8 million contracts, a 14% increase from December year-end with combined futures and options OI up 6% for the same period.
ICE’s 3M €STR futures volume had another record month since its Nov. 1 launch with 986k contracts traded, a significant 91% MoM increase with ADV at 68k by month end. OI too hit another record high at 62.8k, a 106% MoM increase.
U.K. Rates - SONIA and Gilts
Another solid month for SONIA with futures volumes trading 10.8 million contracts, up 21% vs the same quarter 2023. ADV was 542k, a 24% increase vs December 2023 with OI steady at 2 million contracts up 25% vs December 2023. SONIA options too had another strong month printing 2.6 million contracts up 213% vs the same quarter in 2023 with OI ending the month at 4.4 million contracts, a 4% MoM decrease.
Long Gilts Futures consistent with volumes at 4.8 million contracts a 14% quarter on quarter increase and ADV at 241k, a 35% increase from December 2023. Gilt Options picked up again with volumes at 10.3k, a 140% MoM increase.
Swiss Rates - SARON
With the SNB delivering at surprise cut on the March 21, SARON saw a record volume day trading 113.9k contracts. A record volume month printing 836k, up 26% MoM and 47% up quarter on quarter. ADV was 41.8k, another new high since January 2021 with OI at 236k, up 15% vs December 2023.
U.S. Rates - Rate Lock
Another good month for U.S. Rate lock with volumes at 23.5k up 6% MoM. OI remains steady at 936 lots.
Insights
The Euribor benchmark: deep liquidity amid a shifting rate backdrop
When macro-economic events shake global markets, investors need a quick and reliable way to hedge risk. Learn why Euribor endures as an interest rate benchmark.
Managing interest rate risk with inter-contract spreads
As Europe grapples with an uncertain backdrop for growth and inflation, interest rate risk is a source of volatility which many market participants must manage. In this environment, access to reliable liquidity and sophisticated hedging tools offers execution certainty, margin offsets, and the ability to apply inter-contract spread strategies.