Yield notes
May 20, 2026
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–New highs in yields. SFRM7 9593.0, -4.5 to new low, it’s the lowest contract on the SOFR strip, 4.07%. The 2y note closed 4.122%, high since Feb 2025. Tens ended at 4.667%, up 6.4 bps yesterday and up 40 bps in the past month. SOFR contracts from reds thru blues (2nd, 3rd and 4th years forward) are clustered at 4%, high of 9602 (H8 & M8) and low 9589 in H0.
–Near one-year calendar spreads made new highs. SFRM6/M7 settled 40.25 (9633.25/9593.0) and FFQ6/Q7 (I chose August because it’s just after the July 29 FOMC) settled 36.0. Both are currently of telegraphing 1 to 2 hikes over a year. FFQ6 is 9633.5 with EFFR currently 3.63 or 9637.
–The 10y inflation-index yield is now 2.157%; the high in Oct 2023 was 2.52%. 30y bond yield ended at a new high of 5.18 (taking out the Oct 2023 high of 5.11). There were large block trades yesterday in FVM and TYM. Over 100k TYM6 from 108-255 to 108-20. The rolls (M6/U6) make interpretation a bit difficult, but total TY OI was -44k. However, FVM6 also traded at least 50k blocks 106-18 to 17+, with total OI +155k. In any case these areas might now act as support, with current (Wed morning) FVM 106-2125 and TYM 108-295.
–I marked 5/30 at a new recent low 85.4, last time at this level was June 2025 ~84 bps. But it was also at this price in Oct 2021, before Fed tightening hammered the curve.
–NVDA earnings today. Revenue for the quarter expected $80b. Market cap $5.3T, so mkt cap to sales is astronomical, though revenue growing at blistering pace. Friday atm 220^ looks like it was around 13.50 late against 220.61. Seems cheap.
–Iceland raised rates quarter pct to 7.75%. In Sept 2024, they had lowered from 9.25, down to a low of 7.25% by Nov 2025. Inflation is about 5.25% and at risk of rising further. Indonesia hiked 50 to 5.25% with currency at new low. India rupee also making new historic low.
–Japan 10y new high 2.77%, 30y new high 4.137%. German 10y new high yest of 3.16%. UK 10y new high 5.17 last Friday, is now pulling back at 5.05. So Japan 10/30 is 136-ish compared to US 10/30 at 52
