• Regarding the bond market sell-off, things are finally starting to get serious as real yields are on the rise, driven by bets in OIS markets of central banks tightening sooner than previously expected.
  • USD OIS forward bets on an early 2023 Fed hike are firming, with the 2y1m now at 37bps (was 33bps couple of days ago). In EONIA OIS the game is played out in the 3y1m, which has also edged up further in the last few days (at minus 30bps at pixel time). While we have no beef with USD OIS pricing, EONIA pricing is all wrong for a fistful of reasons that we will further down below.
  • In any case, US Treasuries have been adding to losses – in a big way. At 1.30 the 10y is now up 39bps for the year in what almost starts to reek of capitulation. 30y is up 43bps and Bunds have joined the fray (10y up 22bps YTD, 30y 32bps). Just to put that into perspective, the 10y euro inflation linked swap is up just 14bps for the year.



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