Eurodollars project a hike…at the NEXT election

October 26, 2020

–Yields fell slightly Friday with tens ending down half a bp to 84.  The eurodollar curve in the first five years was -0.5 to +1.0.  Trade was light.  

–EDZ0/EDZ1 settled down 1 at -1.5, and is the lowest one-yr calendar on the curve.  Spreads steepen from there until the peak, where EDU’24/EDU’25 and EDZ’24/Z’25 are both 26.5.  Four years from now is where the ED curve prices ‘certainty’ of a single Fed hike, and it will be election season again!

–ESZ and NQZ are currently close to testing last week’s (Thursday) lows.  Those lows are 3402.50 in ES and 11511 in NQ, now 3418 and 11562.  Whether covid or election related, breaks of those lows will likely see rapid follow-through.

–Bitcoin futures are again above 13k, currently up modestly, while gold and silver are lower. 

–Link below relates to Credit Risk Transfer securities issued by Fannie and Freddie, a $45b market. These securities transfer the risk of mortgage non-payment from the agencies to investors, who are now seeing the market languish.  Fannie stopped issuing at the start of Covid although Freddie has resumed.  FHFA director Calabria wants to reduce capital relief the agencies receive by issuing these CRTs.

Posted on October 26, 2020 at 5:31 am by alexmanzara · Permalink
In: Eurodollar Options

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