Throughout February, bond yields across key jurisdictions rose sharply to their highest levels since before the COVID-19 crisis. This increase was primarily driven by improved growth prospects and shift in expectations for accelerated policy normalization. As a result of the rate selloff, Fixed Income markets saw a flurry of activity, with Short Sterling, SONIA and Long Gilts enjoying record performance. Short Sterling futures and options, the benchmark for managing UK interest rate risk, posted their strongest performance in a year and finished the month at record Open Interest (OI), crossing 20 million contracts for the first time. The SONIA complex, the RFR-equivalent, also saw a surge in volumes and strong expansion.
Fixed Income finished the month with Average Daily Volume (ADV) of 3.1 million contracts, +19% YoY. OI in the complex was 30.2 million contracts.
1 March saw the relaunch of SARON futures, the RFR benchmark for the Swiss Franc (CHF). The contracts were made available in the Central Limit Order Book (CLOB) and with a unit of trading of CHF 2,500 or CHF 1 million notional equivalent, their size is now aligned to Euroswiss futures. Access contract specifications.