Market reaction muted
July 15, 2024
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–Market reaction to Trump assassination attempt is muted. Republican Nat’l Convention begins today. Powell interview with David Rubenstein, Chair of the Econ Club of Washington, DC, at 12:30. Powell likely to emphasize slowing labor market.
–Curve steepened to new recent highs on Friday, with 2/10 +4 bps to -27.5 and 5/30 +1 to 29. Front SOFR calendars made new lows and deferred spreads made new highs as the reds, second year forward, led the rally, settling +3.75. Greens +1.5, blues -1 and golds -2. Both U4/Z4 and Z4/H5 3 month calendars settled at new lows, -39 and -37.5. Near term easing is being priced somewhat forcefully, with SFRU4 to SFRH5 -76.5, over three-qtr pct in the span of six months.
–Empire State Mfg today expected -6.0. Treasury vol and VIX near the year’s lows. TYU 111^ settled 1’40 from 1’44 Thursday. TY vol graph below.
