December 2022 Highlights
ICE Interest Rates Report
The Bank of England, ECB and the Fed hiked 50bps at their respective December meetings. Combatting inflation with the spectre of a possible recession looming remains the conundrum for these central banks. Higher rates and a more balanced view of the future of short rates has meant that volatility has relaxed, and liquidity has improved. Particularly in SONIA, liquidity improved dramatically in December. The added stability in the futures has given a noticeable boost to option trading going into 2023.
December capped off a strong year for Fixed Income. Fixed Income futures and options traded 522 million contracts in 2022, +20% YoY (notional adjusted). Volumes were significantly higher in Dec 2022 vs Dec 2021 with Euribor futures and options trading, 90% and 74% more, respectively.
- The 3 Month SONIA futures ADV was 231,000 contracts, +52% YoY
- SONIA futures and options finished the month with combined OI of 2.08 million contracts
SONIA liquidity struggled in the summer of 2022 and was delivered a further blow by the mini-budget debacle on Sept. 23, 2022. We have witnessed a strong recovery, with an expansion of liquidity in the central limit order book, categorized by an increasing size and depth on CLOB orders and a definitive tightening in price. 2023 is set to be a return to strength in the SONIA futures and options complexes.
March 2023 SONIA Liquidity
- December ADV in Euribor futures was 994,000 contracts, +99% on Dec 21 ADV.
- Similar dynamic in Options, ADV of 199,000 contracts, +82% on Dec 21 ADV
- OI in the Euribor complex remains robust, finishing the month at 13.7 million futures and options up +21% YoY
- December ADV in SARON futures was 19,081 contracts, +6.9% on November 22 volumes
- SARON futures finished December at a month-end record OI of 173,585
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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