Bunds Underperform As German CPI Eyes Double-Digits

Core FI is reversing the prior session's relief rally, with curves mixed (though short-end mostly outperforming). Implied volatility in US / European bonds is touching fresh post-2009 highs.

• High German state inflation has seen Bunds underperform: MNI is tracking September CPI (out at 1300UK time) north of 10% Y/Y, vs expectations of 9.5% coming into the session.
• Against that backdrop, another parade of ECB speakers this morning with a clear message: a 75bp October hike is the baseline. That expectation remains mostly market-priced (70bp, up one or two bps this morning).
• UK Nov hike pricing remains fairly steady too, at 160bp. PM Truss' media appearances this morning have done nothing to calm Gilts.
• Data ahead includes third reading of US GDP and jobless claims.
• We hear from BoE's Tenreyro, Ramsden, and Pill; and Fed's Bullard and Daly, with Mester alongside ECB's Lane on a panel.

Latest levels:

• US: 2-Yr yield up 7.6bps at 4.2109%, 5-Yr up 13bps at 4.0779%, 10-Yr up 11.5bps at 3.8461%, 30-Yr up 8.2bps at 3.7806%.
• DE: 2-Yr yield up 7.4bps at 1.93%, 5-Yr up 12.1bps at 2.149%, 10-Yr up 13.8bps at 2.258%, and 30-Yr up 11bps at 2.127%.
• UK: 2-Yr yield up 11.4bps at 4.407%, 5-Yr up 11.8bps at 4.41%, 10-Yr up 13bps at 4.142%, and 30-Yr up 1.6bps at 3.948%.
• Italy / German 10-Yr spread 2.5bps wider at 243.4bps