Weakness persists in red SOFRs
April 24, 2026
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–Yesterday morning I thought bonds might face a hard slide right off the open. Couldn’t have been more wrong. On the other hand, Pierre had it a bit worse, From BBG: “Energy trader Pierre Andurand’s largest hedge fund plunged about 52% in the first half of April, wiping out first quarter gains made on bullish oil bets at the start of the Iran war.”
–In any case, yields did edge a bit higher, with tens up nearly 3 bps to 4.322%. Once again, red SOFR contracts were weakest, with red pack -4.625 to 9848.375. Peak contract on the strip is SFRH8 presently, which settled -4 at 9654 (3.46% vs EFFR of 3.64%). In the first three years of qrtly SOFR contracts, front SFRM6 is lowest at 9633.5. Therefore, the spread between M6 and H8 is only -20.5 bps. A couple of the one-yr SOFR calendars made new highs: U6/U7 up 5 on the day at -11.5 (9635.5/9647.0) and Z6/Z7 at -17.0, +2 on the day (9636/9653). The market is squeezing out the possibility of easing as energy prices remain bid and data prints are solid. SFRM6/M7 settled -6, but ERM6/M7 is +35.5 and SFIM6/M7 is +23.5. ECB and BOE pricing tighter policy.
–Chart attached shows SFRZ7 which appears to have rejected the rally from the end of March (unlike stocks). The white line is 2/10, obviously related to weakness in red SOFRs, also pulling back from the early April rally. Gold chart pattern looks similar: not holding the early April bounce.
–Today’s news features UoM Consumer Sentiment which was 47.6 last, a historic low.
