This Is A Risk-Off Move Without A Haven

Authored by Simon White, Bloomberg macro strategist,

Risk spreads are widening around the world as expectations for central bank rate hikes are marked up in response to an energy shock that is becoming embedded.

Citi’s Macro Risk Index consists of asset prices sensitive to risk (which is likely to include credit spreads, Treasury bill-OIS spreads, basis swaps, asset swaps, VIX etc.), and has been rising sharply, although it remains below its April 2025 high.

This is a global phenomenon.

Spreads in Europe are widening, and a similar index to the one above I built for UK risk is starting to look distinctly unhealthy.

We’re not quite at recent highs, but it won’t take long to surpass them at the current pace.

Risk-off moments normally have assets of refuge. But they’re hard to spot now.

Treasuries are selling off as the market prices in rate hikes for the Federal Reserve.

But the move across the yield curve has been an almost parallel shift higher, rather than the more orthodox bear flattening when more rate hikes are expected.

And the dollar’s rally has so far been muted, the DXY having risen only about 0.4% in the last couple of hours.

The US currency will find resistance as rest-of-world rates climb faster than those in the US.

The Swiss franc and the yen are selling off. Even gold is not providing any shelter from the deluge.

The moves are getting near those that might spark more emollient tones from the White House or from monetary authorities.