A few trades in a crazy week
January 25, 2026
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BBG headline late Friday:
BlackRock Cuts Value of Private Debt Fund by 19%, Waives Fee
The fund is small, only $497 million [and getting smaller]. “…a string of troubled loans weighed on results” of TCP Capital Corp. One company, Renovo Home Partners, has declared bankruptcy.
From a previous BBG article:
About a month ago, BlackRock deemed the private debt it had extended [thru TCP] to Renovo, a struggling home improvement company, to be worth 100 cents on the dollar. As of last week, the firm had a new assessment: zero.
Image is from The Big Short, with Eisman expressing odds of subprime losses being contained.
It wasn’t too long ago that private credit and private equity were the hot investment themes. So full of, well, promise (is that the word I am looking for?), that Blackrock recommended the idea to retail investors. Recently, a dollop of caution has been introduced. Of course, this past week was chock full of wild moves: Nat Gas has to be the poster-child, surging from a settle of 3.10 on Friday Jan 16, to a high of 5.65 three sessions later. Silver screamed higher on Friday to 103.19, having doubled in two months. $/yen plunged to 155.70 Friday, on the threat of intervention. It was 159.45 the week before last. 10y JGB was 1.65% in late October, and hit 2.35% on Tuesday.
Against that backdrop, VIX has barely budged. It touched 20 last week but fell back to 16.09 Friday. MOVE index is on lows last seen in 2021, at 56.25. Call me crazy, but I think owning a little cheap insurance makes sense.
The FOMC meeting is Wednesday. No change expected. FFG6 has been pegged at 9637 (3.63%) for the past two weeks, against current EFFR of 3.64%. Auctions of two, five and seven year notes occur on Monday, Tuesday and Thursday, leaving Wednesday to the Fed.
I’ve discovered that it’s of little use for me to forecast changes; I am just going to mention a few trades that occurred last week in rates that give some indication of possible scenarios.
Several sessions ago, there was a seller of FFJ6/FFK6 at -4.0. Fed meeting is 29-April An ease at that meeting should take the spread to -24.2. Late Friday quote was -4.0/-3.5. (9640s/9644s)
On Friday there was a seller of FFN6/FFQ6 at -7 to -8. Fed meeting is 29-July. An ease at that meeting should take the spread to -23.4 (July has 31 days so two days would be at new rate). Late Friday the spread was -7.5/-7.0. (9655.5s/9661.5s). Given that a new Fed Chair, who is quite likely to favor easing, may not be confirmed until later in summer, the more inverted spread in later contracts makes sense.
In SOFR, both SFRH6/M6 and SFRM6/U6 settled -15.5. SFRH6 is 9637, on top of the current SOFR setting. SFRM6 is 9652.5 and SFRU7 is 9668.0. So, the Mar/Jun/Sept fly is 0, having been -5.0 on Dec 31. Fed Fund spreads cited above suggest that easing may come later rather than earlier and of course that’s a reason for the fly to rally. However, I can easily envision a scenario where the market prices eases at both the March and April meetings whether the new Fed Chair has been installed or not. (That is NOT being priced, though there’s been buying of both Feb and March 9643.75/9656.25cs for 0.5 and 2.0)
On Friday, there was a seller of SFRU6/Z6 at -5.5, where it settled (9668.0/9673.5). Natural tendency should be a roll down to -15 where June/Sept is now. There has also been consistent BUYING of SFRZ6/H7 around +1.0 (9673.5/9672.5). Dec’26 is the peak contract on the curve, but recall that in mid-Sept, before the last round of easing took place, it was as high as 9716. Earlier this month and in December, SFRH7 was the peak contract on the strip, so Dec/March has been as low as -3.0 to -3.5. I do NOT favor buying Dec’26 as Dec 31 is Thursday so the turn is longer than usual. Keep in mind, the Atlanta Fed Q4 GDP Now estimate is a blistering 5.4% and inflation is sticky.
More deferred 3-month SOFR calendars from SFRM7 forward are more like +4.5 to +5. I favor the idea of being long 6-month calendars further out the curve if they come in to 8 or so. Example H8/U8 settled 10 (9654/9644). Said another way, I might look at selling SFRU6/H7 -4.5 vs buying SFRM7/Z7 +9.5. Perhaps not at this price, but forecasting a high on the strip as being somewhere around the start of next year with a steeper profile after that fits my view.
In treasuries there has been recent flattening, most notable in 5/30 which ended around 100 bps, having been over 114 in the beginning of the month. 2/10 ended 63.5. April to mid-Dec range 44 to 62. High at the start of the year was 71.5. Now it’s all about Fed policy.
With regards to treasury vol, or lack thereof as reflected by MOVE (which might as well be renamed STAY), there was a buyer of 50k each TYK6 109.5p 19 (20s) and TYK6 108.5p 11 (12s). At the futures close, the 10y treasury was 4.235%. From May to October last year 10y yield generally declined, from 4.6 to 3.95. In December the yield was capped just below 4.20. On the JGB/Greenland move it hit 4.295, just above the halfway point of May-Oct.
OTHER THOUGHTS, TRADES
The week before last there was a buyer of around 200k 2QM6 9600p for 3 with SFRM8 (underlying) trading 9653.5. On Friday these puts settled 3.5 vs 9649.
On Jan 8 there was a buyer of over 200k 0QU6 9750 calls for 7.0/7.5 ref 9681. These calls are now 4.0 ref 9664.5.
Just mentioning the above 2 trades as they are opposite directions, but both long premium, sort of a steeper bias (long calls on reds, long puts on greens).
| 1/16/2026 | 1/23/2026 | chg | ||
| UST 2Y | 359.7 | 360.0 | 0.3 | |
| UST 5Y | 382.4 | 383.5 | 1.1 | |
| UST 10Y | 422.7 | 423.5 | 0.8 | |
| UST 30Y | 483.8 | 483.0 | -0.8 | |
| GERM 2Y | 210.9 | 212.7 | 1.8 | |
| GERM 10Y | 283.4 | 290.5 | 7.1 | |
| JPN 20Y | 315.6 | 317.9 | 2.3 | |
| CHINA 10Y | 183.6 | 182.5 | -1.1 | |
| SOFR H6/H7 | -35.5 | -35.5 | 0.0 | |
| SOFR H7/H8 | 17.5 | 18.5 | 1.0 | |
| SOFR H8/H9 | 19.5 | 19.5 | 0.0 | |
| EUR | 115.98 | 118.28 | 2.30 | |
| CRUDE (CLH6) | 59.34 | 61.07 | 1.73 | |
| SPX | 6940.01 | 6915.61 | -24.40 | -0.4% |
| VIX | 15.86 | 16.09 | 0.23 | |
| MOVE | 58.05 | 56.25 | -1.80 | |
