(Bloomberg) -- The UK is reviewing the time it releases key economic statistics amid concerns the current pre-trading publication is helping spur volatility in interest-rate and bond markets.
The nation’s Office for National Statistics is “undertaking a period of engagement” with market participants and others over its policy of releasing figures at 7 a.m. in London, half an hour before sterling rates markets open and an hour ahead of gilts. Prior to the pandemic, data were published at 9:30 a.m.
Some market participants blame the early release for exacerbating overnight price gaps and turbulent trading, dissuading participation in the market and therefore thinning liquidity. Interest-rate markets are vital to the pricing of trillions of pounds of assets including mortgages.
“At the moment we get outsized moves on the open and then the gilt market seems a bit dysfunctional for the rest of the day,” said Matthew Amis, investment manager at abrdn investment management. “Key data should be released during market hours when liquidity is up and running.”
The ONS changed the way it releases market-sensitive data including inflation and jobs market reports in March 2020 as restrictions related to the coronavirus pandemic made so-called press lock-ins, where accredited news organizations get the data under secure conditions ahead of public release, unviable. In 2022, the agency said it would stick to the early publication, saying the old norm was no longer justifiable.
While liquidity has improved in sterling rates since the 2022 gilt blow-up, Bank of England officials said last week that market depth in SONIA futures remains materially lower than before the central bank started raising interest rates. They also said liquidity frequently dissipates during risk events, giving sterling rates “an ongoing sense of fragility” versus peers.
“It is at least a question worth considering if a reversion to the pre-Covid norm could encourage a healthier eco-system of participants in the SONIA futures market and other related markets,” BOE’s David Glanville and Arif Merali wrote in a blog post.
On Tuesday, a UK jobs report released at 7 a.m. showed an unexpected fall in unemployment, immediately triggering a pound rally above $1.28. Half an hour later, SONIA futures opened sharply lower but shortly erased the move.
For its part, the ONS argues the earlier release time makes it easier to communicate its reports to the public.
“Releasing our data at 7 a.m. has given a significantly increased ability to explain our figures and provide context around our statistics,” an ONS spokesperson told Bloomberg. “However, we are currently undertaking a period of engagement with users across the City, media and elsewhere to ensure that this policy is also operating for the benefit of statistical users generally.”
Ed Humpherson, a director general at the Office for Statistics Regulation, said in a letter last month the ONS should engage with stakeholders including UK rates traders and provide “an effective response” if it were to make the case for the continuation of early releases.
(Updates with market reaction to jobs market report in eighth paragraph.)
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