April 2022 Highlights

ICE Interest Rates Report

The invasion of Ukraine continues to drive uncertainty in the global economy. The implications from the conflict are feeding through into markets, with equities retreating and bond yields rising across key jurisdictions. The conflict puts further pressure on mounting inflation figures with increased disruptions to already stressed supply chains, with commodity and food prices soaring, reaching all-time highs for some essential products. Against this backdrop, pressure is growing for major central banks to reevaluate policy and to help curb rising inflation. While following different trajectories, multiple rate hikes are now priced in before end of 2022 in both the UK and the Eurozone.

The fixed income franchise enjoyed momentum enthused by the hawkish tilt in central bank rhetoric and signals for a rapid turn for rates cycles in Europe and the UK. Euribor, in particular, enjoyed tail winds, with average daily volume (ADV) over the period in futures of 982,000, +37% YoY and 362,000 for options, twice the level from a year ago. Open interest (OI) in the complex is trending upwards, +12% and +72% compared to a year ago in futures and options respectively.

Effective April 18, 2022, a change was introduced to the pricing methodology for Euribor packs and bundles. The Euribor strategies are now aligned with the methodology applied in SONIA packs and bundles. More detail here.

Fixed Income finished April with ADV of 1.8 million contracts, +25% YoY. OI in the complex was 22.7 million contracts, +8% YoY.
  • The 3 Month SONIA complex enjoyed a strong month of activity. April ADV was 223,100 contracts in futures and 99,100 in options
  • SONIA futures and options finished the month with combined OI of 5,934,500
  • ADV in Euribor futures and options was 1,344,200 contracts. This was +37% and +106% on the same period last year, in futures and options respectively
  • OI in the Euribor complex continued to grow and finished the month at 15.9 million futures and options, +50% YoY
  • Euribor options saw bouts of activity, with OI now tracking at twice the levels seen a year ago and the highest observed since 2013
  • SARON is now the benchmark for CHF rates
  • Volumes continue to grow in SARON futures as users adopt the new rate
  • April set a record for the highest ADV in the contracts at 10,219 contracts
  • OI in the products is growing and was 180,370 at the end of April
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

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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