May 12, 2020

–Yields ended higher yesterday and curve posted new recent highs.  Ten year up 4.5 bps to 72.5.  Thirty-year at 1.44 surpassed April’s high (chart below).  2/10 ended at 54.4, +1.5 and 5/30 at 108.4, +2.5.  Red/gold pack spread ended at 45.125, +1.5 but still 10 bps off the high from mid-April.

–CPI today expected -0.8 month-over-month.  NFIB Small Biz Optimism expected to plunge to 83 from 96.4; the low in 2009 was 81.6.  While the Fed will dip its toe into the junk bond market beginning today (the Fed announced it will begin purchases of bond ETFs including JNK and LQD), the treasury has some paper to sell, including $32B ten years, $35B in 119 day Cash Mgmt Bills and $65B 42 day CMBs.   The Fed’s paying Blackrock for this service of buying ETFs.  Blackrock, in turn, is using an unpaid college intern named Jack to point and click to enter bids. High finance.

–Trump ordered government retirement investment funds to avoid China. 

–Fed Presidents Evans, Bostic and Bullard all made negative comments about negative rates.  So that’s a positive right?  In any event Fed Fund futures retreated, although contracts in the middle of next year are still stubbornly holding 100 to 100.01.  Powell tomorrow.   

Posted on May 12, 2020 at 5:23 am by alexmanzara · Permalink
In: Eurodollar Options

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