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SONIA FIX - 27/02/23


US FIX - 27/02/23


Carry-Over Selling on Persistent Inflation

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Super Thursday: BOE / ECB both due to announce policy


It's a huge day for markets with both the BOE and ECB meetings due this afternoon as well as the three Fed nominees testifying before Congress.

  • So far this morning we have seen mixed moves in core fixed income. STIR futures are down around 1-1.5 ticks through Whites and Reds for Eurodollar, Euribor and SONIA futures.
  • Bunds and Treasuries are moving in sync with some bull steepening, with 2-year yields down 1.8bp and 1.7bp respectively. Gilts have bear steepened.
  • The focus of the BOE meeting will be whether there is a hike, the vote breakdown and the inflation forecasts (particularly the 3-year forecast at market rates). If that forecast is below 2% it would be an implicit signal from the BOE that market pricing is too high.
  • Elsewhere for the UK, Northern Irelend issues are coming back into focus, the Ofgem price cap will be announced at 11:00GMT (important for inflation) and Chancellor Sunak will address the House at 11:30GMT.
  • For the ECB, today's meeting will present a communication challenge for the ECB as it attempts to affirm the baseline scenario (subsiding inflation this year, no near-term rate hikes) at a time when the Fed and BoE have become more hawkish and inflation fears have been rising globally.
  • Fed Governor nominees Raskin, Cook and Jefferson are due to testify before the House. The pre-released initial comments from the three didn't reveal any major talking points but their appearances will be closely analysed none-the-less.
  • TY1 futures are unch today at 128-04 with 10y UST yields down -0.6bp at 1.771% and 2y yields down -1.6bp at 1.139%.
  • Bund futures are up 0.06 today at 168.72 with 10y Bund yields down -0.2bp at 0.036% and Schatz yields down -1.6bp at -0.483%.
  • Gilt futures are down -0.14 today at 122.28 with 10y yields up 1.7bp at 1.272% and 2y yields up 0.6bp at 1.030%.

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