Your browser is unsupported

Please visit this URL to review a list of supported browsers.

ICE Fixed Income Monthly
December 2022

ICE Fixed Income Monthly Report

In this edition, the year ahead: our President of Fixed Income & Data Services Amanda Hindlian shares what she’ll be watching for MBS markets, munis and indices. We analyze impact bond activity, and ICE’s Long Gilt futures mark 40 years as a benchmark for U.K. sovereign bond markets.

Newsletter Archive

Sign up to our mailing list to receive the newsletter and updates from the ICE Fixed Income team

Amanda Hindlian
Amanda Hindlian
President, Fixed Income & Data Services


As you know, it has been a volatile year for markets. The pace and magnitude of Fed action in response to inflationary pressures, coupled with fallout from the war in Ukraine, made it a challenging year for most major asset classes.

From an economic standpoint, the question is “what’s next?” One area I’ve tracked as an economic bellwether is mortgages and mortgage-backed securities (MBS) given their status as the second largest segment of the U.S. fixed income market, and because the housing market’s response to the Fed is typically speedy. When people believe their homes are worth more, or at a minimum holding value, it fuels consumer spending and confidence -- and vice versa. One benefit homeowners enjoyed from record levels of Fed support in MBS markets was very low mortgage rates. As seen in the charts below, this allowed most homeowners to refinance or take out mortgages with rates at or below 4%.

Now MBS markets are undergoing a substantial shift. Of the 25% of mortgage borrowers currently paying above 4%, our data shows that a disproportionate number are economically vulnerable -- such as living in high poverty areas with less access to credit. If we fall into a recession, as many now expect, these borrowers who are already facing relatively higher mortgage payments, and more expensive daily living from inflation, may have little buffer to weather an economic storm.

Against this backdrop, investors often ask us how they can direct their capital to have an outsized positive impact in our world. And demand for investments that target environmental, social and governance (ESG) concerns is rising. By using newer metrics like the ICE Social Impact Score, investors can seek to help less affluent communities. In addition to mortgage backed securities, our analytics can be applied to municipal bond investments, with the potential to pursue strategies such as identifying school districts, where fresh capital infusions could lead to better educational outcomes in disadvantaged communities. And interestingly, studies on this subject suggest that school capital investment also supports more robust local housing markets, creating a virtuous cycle.

ESG investing has emerged as a clear theme for our index business as well. Bond managers can now benchmark to indices aligned with Paris Climate Agreement targets, while asset classes like carbon are emerging via ETF launches across Asia-Pacific. Other ETF/ fund trends we’re seeing include a preference for income-focused products like high dividend equity funds -- particularly in Europe and Asia -- and we expect growth in fixed income funds as rates continue to rise.

As 2023 begins, Fixed Income and Data Services at ICE is focused on supporting our clients across these and other areas. And as economic and market conditions evolve and impact our clients, so too will we.

We wish you a happy and healthy holiday season and a great start to the New Year. It may not be an easy one, but hopefully it is at least an interesting year.

Outstanding US Mortgage Note Rates

Asset Class Performance 2022 YTD Total Return

Source: ICE Data Services

Elsewhere in bond markets

Finding Needles in the Bond Market Haystack

A confluence of factors, ranging from inflation to war, have come together in 2022 to spark sharp asset price falls and historically poor year to date performance in bond markets. Coupled with a volatile trading environment these underscore the need for faster decision making, closer oversight, and more efficient investment analysis. Access to high quality data can be critical for success.

Read more

ICE’s Long Gilt futures: 40 years as a benchmark for U.K. sovereign bond markets

In the three hundred-plus years since King William III issued the first gilts, it’s a point of pride for the United Kingdom that not a single payment has been missed. Gilts’ reputation as a safe-haven, highly liquid asset is globally renowned. Here at ICE, we are equally proud of our gilt futures, which on November 18, 2022, celebrate their 40th anniversary of trading.

Read more

Q3 Impact Bond Analysis

The percentage of impact bonds certified by a third party hit 87% globally in Q1-Q3 2022 up from 84% last year, amid growing regulatory oversight fueled by concerns of ‘greenwashing’. While Europe, the Middle East and Africa (EMEA) still have the highest certification rate, certification jumped from 68% to 85% in the Americas, and from 83% to 87% in the Asia-Pacific region.

Read more

Webinar: Creating Custom Indices

ICE’s Custom Index Tool provides clients with an easy-to-use, web-based solution to create and backtest custom indices and strategies. Join us for a webinar as we demonstrate our Custom Index Tool.

Topics include:

  • ICE Index Platform Overview – Summary of all available analytical tools that help clients to perform historical research, daily production tasks and overall index data tracking
  • Profile Analysis Tool – Slice and dice any index, including any custom indices, in up to three segments and view results
  • Custom Index Builder – create simple or complex custom indices that can be shared across colleagues and view results within all tools of the Platform
  • ESG Custom Index Tools – create custom indices using ESG filters from Sustainalytics or MSCI data

Register here

Connect to Fixed Income Markets

Manage risk, uncover opportunities, and make informed decisions in real-time with ICE’s end-to-end fixed income solutions.

Related solutions

Best Execution Service

A statistical distribution approach for measuring bond trade execution quality, our Best Execution Service utilizes ICE’s evaluated prices to help clients monitor trading activities and to help measure trading effectiveness across the growing number of venues and protocols more closely, which can assist users with meeting regulatory obligations.

Municipal Bonds

Munis are a highly fragmented market, where data can be scarce and inconsistent. The challenges created by one million active securities, over 50,000 issuers and fewer than 1% of munis trading daily mean new ways of doing business have been a long time coming. ICE’s expertise, data and technology help connect muni market participants to new opportunities.

This material contains information that is confidential and the proprietary property and/or a trade secret of Intercontinental Exchange, Inc. and/or its affiliates (the “ICE Group”), is not to be published, reproduced, copied, modified, disclosed or used in any way without the express written consent of the ICE Group. This document is provided for informational purposes only. The information contained herein is subject to change and does not constitute any form of warranty, representation, or undertaking. Nothing herein should in any way be deemed to alter the legal rights and obligations contained in agreements between the ICE Group and its respective clients relating to any of the products or services described herein. Nothing herein is intended to constitute legal, tax, accounting, or other professional advice.

The information contained herein is provided “as is” and the ICE Group makes no warranties whatsoever, either express or implied, as to merchantability, fitness for a particular purpose, or any other matter. The ICE Group makes no representation or warranty that any data or information (including but not limited to evaluated pricing) supplied to or by it are complete or free from errors, omissions, or defects. Without limiting the foregoing, in no event shall the ICE Group have any liability for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits) in connection with any use of and/or reliance on the content of this document even if advised of the possibility of such damages.

Trading and execution services are offered through ICE Bonds Securities Corporation or ICE Bonds member FINRA, MSRB and SIPC. The information found herein, has been prepared solely for informational purposes and should not be considered investment advice, is neither an offer to sell nor a solicitation of an offer to buy any financial product(s), is intended for institutional investors only and is not intended for retail customer use.

Trading analytics available from ICE Data Pricing & Reference Data are a point in time output and as such dependent on and take into account the information available to ICE Data Pricing & Reference Data at the time of calculation. ICE Data Pricing & Reference Data does not have access to all relevant trade-related data or dealer quotes, and the utility of the output may diminish depending upon amount of available data underlying the analysis. The inputs utilized in each of the trading analytics services described herein depend on the methodologies employed by each such service and may not be the same as the inputs used in the other trading analytics services. There are many methodologies (including computer-based analytical modelling) available to calculate and determine information such as trading analytics described herein. ICE Data Pricing & Reference Data’s trading analytics may not generate results that correlate to actual outcomes, and/or actual behavior of the market, such as with regard to the purchase and sale of instruments. There may be errors or defects in ICE Data Pricing & Reference Data’s software, databases, or methodologies that may cause resultant data to be inappropriate for use for certain purposes or use cases, and/or within certain applications. Certain historical data may be subject to periodic updates over time due to recalibration processes, including, without limitation enhancement of ICE Data Pricing & Reference Data’s models and increased coverage of instruments. Although ICE Data Pricing & Reference Data may elect to update the data it uses from time to time, it has no obligation to do so.

Fixed income evaluations, continuous evaluated pricing, end-of-day evaluations, evaluated curves, model-based curves, market sentiment scores, and Fair Value Information Services related to securities are provided in the US through ICE Data Pricing & Reference Data, LLC and internationally through ICE Data Services entities in Europe and Asia Pacific. ICE Data Pricing & Reference Data, LLC is a registered investment adviser with the US Securities and Exchange Commission. Additional information about ICE Data Pricing & Reference Data, LLC is available on the SEC’s website at A copy of ICE Data Pricing & Reference Data, LLC’s Form ADV is available upon request.

Index products and services are provided by ICE Data Indices, LLC.