Worried about inflation…and shadow credit
June 9, 2026
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–Little net change in rate futures with tens up 1.6 bps to 4.548 and 30s up 2.6 to 5.024. Treasury auctions 3s today, followed by 10s and 30s Wed/Thur, with CPI tomorrow, all of which are keeping rate futures capped. News today includes trade and existing home sales. From 2015 thru 2019, existing home sales were 5-5.5 million with an average of about 5.4m Since 2023 that average is now just over 4 million after the surge in 2021 (6.5m), with today expected 4.07m.
–June SOFR options expire Friday, with 0QM6 9587.5^ settling 10.5 vs SFRM7 9590.5. Probably a fair price but if I HAD to do something I’d buy rather than sell.
–ESM rebounding a bit this morning. There have been many reports of circular financing relating to AI. This ZeroHedge article covers a $35b SPV arranged by Apollo and Blackstone for Broadcom to lease chips to Anthropic. According to the article, the sr tranches are backstopped by Broadcom (vendor financing). From ZH:
The two senior portions of the debt were split between banks and investors. Some $6bn of so-called A1 notes were sold to banks with an interest rate 1% over Treasuries. A further $24bn of A2 notes were sold on to investors in asset-backed credit markets, priced with a yield of 5.75 per cent…. The $4.5bn of junior debt, which is not supported by Broadcom and therefore exposes lenders more acutely to Anthropic, carried an interest rate of 8.5%.
Broadcom (AVGO) 5y CDS has steadily climbed this year from 35-40 bps to 52.7 last. The stock has retraced about 45% of Apr/May rally. (SPV is off balance sheet). By comparison ORCL 5y CDS 159 bps and Alphabet is 50.
