July 2022 Highlights

ICE Interest Rates Report

Economic sentiment was mixed in July amid what remains a challenging environment. Markets continue to be rattled by concerns over generation-high inflation and the ongoing war in Ukraine. In response, central banks continued to raise interest rates at an accelerated rate. The European Central Bank (ECB) raised interest rates by half a percentage point, the first raise in over a decade, ending a prolonged period of negative rates. In a move anticipated by markets, the Bank of England (BoE) also increased borrowing cost by half a percentage point in attempt to combat spiraling inflation even as they predict the UK economy may be heading for a recession.

Even as we entered the summer months, 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 STIRs.

Momentum observed in Euribor over recent months continued; July average daily volume (ADV) in futures was 1,277,800 contracts, +58% YoY and 299,200 for options, four times the level observed over the same period a year ago. Open interest (OI) in the Euribor complex is expanding driven by consistently strong performance in options. Euribor finished June at OI of 4.72 million futures and 14.11 million options, +13% and +100% YoY. Combined OI in the Euribor complex is now trending at levels last seen almost 10 years ago.

Fixed income finished May with ADV of 1.90 million contracts, +17% YoY. OI in the complex was 23.93 million contracts, +16% YoY.
  • The 3 Month SONIA complex enjoyed a strong month of activity. July ADV was 206,070 contracts
  • SONIA futures and options finished the month with combined OI of 4.33 million contracts
  • ADV in Euribor futures and options was 1,426,900 contracts. This was +58% and +303% 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 18.83 million futures and options, +68% 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
  • As users continue to adopt the new rate, volumes in SARON continue to grow
  • July ADV in SARON futures was 9,793
  • SARON finished June at OI at 164,700 lots
***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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