September 2022 Highlights

ICE Interest Rates Report

The level of uncertainty around the outlook for the global economy remains highly elevated. As the challenging macroeconomic environment continues to play out globally, risk-off sentiment has firmly set in.

Central Banks around the world continued on the trajectory of rapid rate hikes in an attempt to combat ever-persistent inflation. Policy makers are facing tough decisions and a fine balancing act; while they have made it clear that their principal concern is the strongest run of inflation since the 1980s, higher rates are putting pressure on already fragile economies and increasing the risk of recession.

Given the synchronized monetary policy cycles in the UK and the Eurozone and accelerated rate increases, volumes in the Fixed Income complex were solid in September. Markets continued to see heightened volatility which was supportive of performance in STIR futures and options.

Following the initial UK mini-budget announcement on Sept. 23, SONIA futures saw an all-time record trading day with 826,631 lots. SONIA futures also enjoyed the highest monthly Average Daily Volume (ADV) since their launch of 406,000 lots, which is approximately three times the levels observed a year ago.

Momentum in the Euribor complex continued with YTD 2022 ADV in Euribor futures at an all-time high of 1.15 million contracts. September ADV in futures was 1.49 million, +118% YoY and 423,500 in options, almost four times the level seen over the same period last year. Open Interest (OI) in Euribor remains robust. The complex finished September with OI of 4.40 million futures and 13.83 million options, +5% and +145% YoY respectively. Combined OI in the Euribor complex is now trending at levels last seen almost 10 years ago.

SARON futures posted a strong performance in September as the contracts are being established as the benchmark for CHF listed rates. ADV was at a record 17,600 lots while OI stood at 160,700 at the end of the period.

Fixed Income finished September with ADV of 2.66 million contracts, +45% YoY. OI in the complex was 21.98 million contracts, +4% 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 futures ADV was 406,100 contracts
  • SONIA futures and options finished the month with combined OI of 3.03 million contracts
  • Block thresholds for SONIA were reduced in October. For details, please see Circular 22/148
  • September ADV in Euribor was 1,917,000 contracts. This was +118% and +243% on the same period last year, in futures and options respectively
  • OI in the Euribor complex remains robust, finishing the month at 18.23 million futures and options, +85% YoY
  • Euribor options saw bouts of activity with OI now tracking at levels more than double what was observed in the same period a year ago.
  • As users continue to adopt the new rate, volumes in SARON are trending upwards
  • September ADV in SARON futures was at a record 17,641 contracts
  • September saw the highest volume day ever for the contract of 63,390 contracts
  • SARON futures finished September at OI at 160,700
***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)”.

© 2022 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: