Range of outcomes becoming wider
March 20, 2026
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–So far in March, ten year gilt has gone from a low 4.23% on Feb 27 to 4.93% this morning as BOE advised yesterday it was ready to react to an inflationary shock. Dec’26 Sonia was down 45.5 bps yesterday to 9558 and is 9543.5 this morning. Feb 27 settle on Dec Sonia 9680, so the month’s move has been around 140 bs!
–US rates also jumped on the short end. Weakest contract SFRH7 which settled 9634, down 17.5. SFRZ6 was down 16.5 at 9631, now at a rate ABOVE the current EFFR of 3.64. In comparison to sonia, SFRZ6 was 9694.5 on Feb 27 and is now 9625 (Friday morning) so 70 bps. US 2y note closed above the upper band of the FF target (3.50-3.75) ending at 3.81%.
–The BBG quote of the day is “Reality is not always probable, or likely.” by Jorge Luis Borges. For anyone who’s been around the last few years, that’s like saying the sky is blue.
–Keeping the Borges quote in mind, Bibi contended yesterday that Iran’s nuclear production has been destroyed. Perhaps intended to save US equities in front of today, the biggest option expiration ever. It helped yesterday, but this morning it looks like we’re right back to a ‘risk-off’ weekend.
