Interest Rate Futures
During Q3 2022 the RBA continues with its rate tightening cycle to combat rising inflation. Following rate hikes in May, June and July, further increases were announced for August and September. On 4 October, the RBA raised the Target Cash Rate by a further 25bp taking the cash rate to 2.60%. Market pricing indicates that the Target Cash Rate will reach 3.5% by mid-2023.
Rates futures volumes were down 8% vs Q2 2022 and flat when compared to the same period last year (Q3 2021). Open Interest finished the quarter at 2.7mln, down 9.30% compared to the same period last year and down 2% on Q2 2022.
Despite flat overall volumes vs pcp higher activity was seen in the short-end futures with the 30-day cash rate futures up 677% and 90-day Bank Bill Futures were also up 71%, compared to Q3 2021.
Employment data was strong in July 2022 with the unemployment rate at 3.4%, the lowest since 1974.