August 2022 Highlights

ICE Interest Rates Report

The level of uncertainty around the outlook for the global economy remains highly elevated. Markets were rattled by concerns over generation-high inflation and the fallout from the ongoing war in Ukraine amid what are becoming increasingly more challenging market conditions. Recognizing the new macro regime, central banks reiterated their commitment to combat spiraling inflation and continued to raise interest rates at an accelerated rate. The Bank of England (BoE) increased borrowing costs by a further half a percentage point in August even as they cautioned that the UK economy may be heading for a recession. Markets are pricing in a number of additional rate hikes across key jurisdictions by year end.

While August traditionally tends to be a quieter month, the return of rate cycles in the UK and the Eurozone was supportive of volumes in the fixed income complex; markets saw heightened volatility which bolstered performance in STIR futures and options.

Momentum observed in Euribor over recent months continued. YTD 2022 average daily volume (ADV) in Euribor futures is at an all-time record of 1.07 million contracts. August ADV in futures was 1.02 million, +112% YoY and 337,500 in options, almost five times the level observed over the same period last year. Open interest (OI) in the Euribor complex continued to expand driven by consistently strong performance in options. Euribor finished August at OI of 4.88 million futures and 15.44 million options, +13% and +112% YoY respectively. Combined OI in the Euribor complex is now trending at levels last seen almost 10 years ago.

Fixed income finished August with ADV of 2.00 million contracts, +62% YoY. OI in the complex was 25.63 million contracts, +18% YoY.
ICE Sees Early Industry Support for New U.S. Residential Mortgage Futures

Two of the biggest names in U.S. residential mortgage markets - R.J. O’Brien & Associates and Pennymac - are getting behind ICE’s new mortgage futures contracts. Their support is an important early step in the adoption of ICE’s first futures contracts for U.S. residential mortgages – the U.S. Conforming and Jumbo 30-year Fixed Mortgage Rate Lock Index futures.

  • The 3 Month SONIA complex enjoyed a strong month of activity. August ADV was 352,000 contracts
  • SONIA futures and options finished the month with combined OI of 4.44 million contracts
  • August ADV in Euribor futures and options was 1,360,000 contracts. This was +112% and +474% on the same period last year, in futures and options respectively
  • OI in the Euribor complex continued to grow supported by strong performance of options, finishing the month at 20.32 million futures and options, +75% 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.
  • As users continue to adopt the new rate, volumes in SARON futures have picked up
  • August ADV in SARON futures was 10,079
  • Sept. 1 was a record volume day in the contract with over 32,300 lots trading
  • SARON futures finished June at OI at 188,000, a record month end OI figure
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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