February 2023 Highlights

ICE Interest Rates Report

The Bank of England and European Central Bank hiked 50bps at their respective February meetings. Market consensus on further central bank action has been put into disarray by recent fears on the back of the failure of Silicon Valley Bank. Both Euribor and SONIA futures had record volume trading days on 13 March. Gilt trading in 2023 is recovering from the UK mini-budget and subsequent deleveraging at the long end of the curve..

Through February Fixed Income futures and options have traded 95.0 million contracts, +4.4% YoY. Open interest (OI) in the product suite is 20.8 million, an increase of 27.0% from year end.
  • The 3 Month SONIA futures monthly average daily volume (ADV) was 490,000 contracts, +21% YoY
  • SONIA futures OI has increased 21.5% since year end
  • SONIA options OI has increased 99.7% since year end
SONIA liquidity struggled in the summer of 2022 and was delivered a further blow by the mini-budget crisis on Sept. 23. 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.
June 2023 SONIA Liquidity
  • Euribor Futures & Options ADV in February 2023 was 1.77 million contract, +47.9% on Dec 22 ADV
  • OI in the Euribor complex remains robust, finishing the month at 16.9 million futures and options up +23.7% YoY
  • February 2023 ADV in SARON futures was 22.2 thousand contracts, +25.3% on January 2023 volumes
  • SARON futures finished February at a month-end record OI of 241 thousand contracts, +38.6% on year end figures
  • Gilts have reversed their fortunes post the mini-budget unwind
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)”.

© 2023 Intercontinental Exchange, Inc. All rights reserved. Intercontinental Exchange and ICE are trademarks of Intercontinental Exchange, Inc. or its affiliates. For more information regarding registered trademarks see: intercontinentalexchange.com/terms-of-use