Market Information Monday 10 August 2026

A surge in US swap futures volume to a record 167,000 contracts, equivalent to roughly 16 billion dollars in notional value, pointed to heavy hedging activity by mortgage investors bracing for rates to stay higher for longer. Rising Treasury yields have extended the duration of mortgage portfolios by reducing refinancing incentives for house owners, forcing investors to add hedges across the two- to ten-year part of the curve. Monday’s volume was more than six times the second-quarter daily average, with analysts noting the move reflects broader concern that the US economy’s resilience and AI-driven productivity optimism will keep long-term rates elevated.

Europe’s summer of record heat, droughts and wildfires is inflicting economic damage already measurable in the hundreds of billions of euros, with the Rhine halt alone set to shave 0.3 percentage points off German GDP and Allianz estimating climate change could cut growth by 5 to 7% by 2030 for the most exposed economies. Southern Europe faces a disproportionate blow through falling tourism, crop failures and higher food inflation, complicating the ECB’s task of keeping prices in check. Stretched public finances, particularly in France and Italy where tax revenue losses could reach 1.3 to 1.8% of output, risk drawing the ECB back into bond markets if governments ramp up climate-related spending.

Oil prices edged higher on Monday as prospects for a Hormuz deal dimmed, with Iranian Foreign Minister Abbas Araghchi stating Tehran is not currently in direct talks with Washington to end the conflict and reopen the strait. Iran has also demanded compensation and set six conditions for reopening, while the US insists on unrestricted freedom of navigation without Iranian controls. With Houthi attacks continuing to disrupt Red Sea shipping routes as an alternative, leaving Brent at 84.42 and WTI at 78.83 dollars a barrel.

The 6M Euribor decreased with 3 basis points to 2.69% compared to previous business day. The 10Y Swap decreased with 1 basis point to 3.17% compared to previous business day.

In the attachment, today’s market data on money and capital market rates as well as other rates are presented.