NQ at 27,000 will be an important pivot moving forward if it can survive and close above today.
Meanwhile Dec 5yr Notes (image below) have climbed back to retrace the aggressive drops in September due to climbing oil and hawkish Fed.
Massive curve block trade yesterday, appeared buyer of ZTZ6 +44,700 vs 10,200 UBZ6, approximately $1.5mm in DV01. 2s30s cash curve is +6.5 bps today
ACLLC retweeted
Recent widening in select credit spreads, particularly across the technology complex, suggests restrictive monetary policy is increasingly weighing on risk appetite and capital allocation.
As markets transition from pricing persistent Fed restraint toward its consequences for growth, duration could regain its defensive characteristics.
Despite this, SOFR futures continue to imply restrictive policy through 2027, leaving the back end of the policy curve vulnerable to dovish repricing.
The rolling 20-day R² between the implied trough fed funds rate and the SFRZ6Z7 spread has risen to approximately 75%, suggesting the curve is increasingly sensitive to changes in terminal easing expectations.
With SFRZ6Z7 having steepened well beyond its one-year median, relative valuations also appear extended.
Further deterioration in financial conditions could therefore favor SFRZ6Z7 flatteners as markets price a lower policy-rate trough, alongside potential compression in term premium.
USTs: DC gridlock is on the menu, 5yr strongest on the curve DoD, +3.5 bps against the wings on 2s5s30s
US Midterm Elections and UST 10yr Yield, Gridlock leans toward a better bid:
2014: Prez Dem, House GOP (hold), Senate GOP (gain)
10yr Yield in the month of Nov: Opened 2.34, Closed 2.17
2018: Prez GOP, House Dem (gain), Senate GOP (hold)
10yr Yield in the month of Nov: Opened 3.22, Closed 3.24
2022: Prez Dem, House GOP (gain), Senate Dem (hold)
10yr Yield in the month of Nov: Opened 4.10, Closed 3.77
US Midterm Elections and UST 10yr Yield, Gridlock leans toward a better bid:
2014: Prez Dem, House GOP (hold), Senate GOP (gain)
10yr Yield in the month of Nov: Opened 2.34, Closed 2.17
2018: Prez GOP, House Dem (gain), Senate GOP (hold)
10yr Yield in the month of Nov: Opened 3.22, Closed 3.24
2022: Prez Dem, House GOP (gain), Senate Dem (hold)
10yr Yield in the month of Nov: Opened 4.10, Closed 3.77
December WTI taking a 2 handle dive on the headline, last 97.52
Iran Supreme Leader Has Granted Govt Authority For Talks – IRNA
t.me/irna_1313/468955
ACLLC retweeted
new plumbing post just dropped
a primer on the cross-currency (XCCY) basis market conks.plumbing/p/primer-the-…
ACLLC retweeted
PCE Forecast for tomorrow:
In our PCE forecast, energy is driving the marginal acceleration, while core services are continuing to drive the underlying persistence. Air fares I believe will be a fairly large contribution this month in PCE as well.
MoM: 0.52%
YoY: 3.47%
ACLLC retweeted
Force majeure used to cover things such as natural disasters, wars, etc. Now PE wants it to cover AI too.
HIG's latest LBO loan suspends lenders’ remedies on an interest default for as long as the company is “impacted” by AI...
What are we even doing here?
