June 1. Delinquencies edge higher

–Once again, the curve edged to a new low with 2/10 down 1 bp to 92.2 and red/gold euro$ pack spread 1.75 to 60.625.  Stock indexes fought back from early weakness which was spurred in part by JPM’s warning that low volatility had contributed to a decline in Q2 trading revenue of 15%.  Large financial shares closed lower, with JPM and WFC -2%, GS -3.3% and BAC -1.9%.  There was an early seller of 70k EDU7 9862p at 4 bps ref 9867.0; the 9862 straddle settled 12.5.  SF Fed’s Williams continues to say his baseline forecast is for 2 more rate hikes this year.  While July FF are >90% priced for a hike in two weeks, January’18 FF are priced at a spread to July of only 14 bps. (9888 and 9874).  The market’s baseline is substantially below Williams’.

–An article on Reuters says Small Business Borrowing has hit a six month low.  “The Thomson Reuters/PayNet Small Business Lending Index dropped a third straight month in April to 123.1, down 5 percent from last April and the lowest level since October.”  Additionally, “The share of loans more than 30 days past due was 1.7 percent in April, the highest rate in more than four years, PayNet data showed.”  [Link below].  Delinquencies have been rising on credit cards and auto loans, and now small businesses as well.

–News today includes ADP expected 170k and ISM Mfg at 54.6. It appears that treasuries are going into tomorrow’s Payroll data at the top end of the range.


Posted on June 1, 2017 at 5:18 am by alexmanzara · Permalink
In: Eurodollar Options

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