President’s Day. New high in curve.
Feb 15. Interest rate futures rallied and curve steepened to new highs. Retail Sales were slightly stronger than expected. Stocks bounced. I marked red/gold pack spread at a new recent high of nearly 282 bps. Last year the highest I marked this spread was a little over 300 bps, but that was in June 2009 just prior to the roll. I marked 2/10 treasury at 286, right at the highs. I believe all treasury yields are going lower, but supply issues and the end of QE (for now) are holding long end down.
–There is a treasure of data on St Louis Fed’s website, but just looking at two charts, [links below] MULT, M1 Money Multiplier (plunging) and ASLSTX, State and Local Sale Tax receipts (also plunging), makes it very hard to believe the US economy can do anything but stagnate. Data continues to deteriorate in many areas: US Prime Jumbo Mortgages 60 days late hit new record 9.6% in Jan. Moody’s reports Jan increase in CRE delinquencies up a record 50 bps in ONE MONTH to 5.42%. Several high-yield bond offerings were pulled. The push to cut budgets globally and de-lever is perhaps accelerating, risking a spiral of asset led deflation. Even the NBA is under pressure, with Stern saying the league faces $400 million in losses.
–The good news? 2009 was a record year for gov’t lobbying according to Center for Responsive Politics.
–Buyer of 20k EOJ 9837/9862c 1×2 new position. Buyer of 5k EOM 9837^ late, new.
Just click on these 2 links and consider whether the monetary stimulus is working, and if it is, why aren’t sales tax receipts growing?
http://research..stlouisfed.org/fred2/series/MULT
