Macrospectrum
Subscribe icon

Market Blog

image
image
Preview
image
Admin iconGold User
7 days ago
icon
Img
The window dressing by US banks continues.
image
Comments
image
Admin iconGold User
11 days ago
icon
Img
Speculators have been getting short in USTs.
image
Comments
image
Admin iconGold User
13 days ago
icon
Img
US bond markets are pricing in too many rate cuts too soon
image
Comments
image
Admin iconGold User
16 days ago
icon
Img
September median and mean new issuance of High Yield US corp bonds are $31 billion since 2007, levels that could prove conservative vs. our projected monthly primary range of $42 billion. Sharply reduced Treasury yields and still-narrow spread have dropped yield-to-worst for the Bloomberg US Corporate High Yield Total Return Index to 7.3% as of August 27, effectively the 12-month lows. While still above the 6.5-6.75% range that we see as a trigger for material refinancing, the reduced rates may nonetheless catalyze primary market volumes given the sub-three-year duration profile of the index. We revise our full-year issuance forecast higher, with a new mid-point of $275 billion, plus or minus $25 billion, up from $250 billion.
image
Comments
image
Admin iconGold User
17 days ago
icon
Img
On average in recent years, September has been the worst month of the year for credit. That holds true for investment-grade, high yield and emerging-market bonds.
image
Comments
image
Admin iconGold User
24 days ago
icon
Img
Is Fed Truly Apolitical: Yields of Investment Grade & High yield corp bonds in US are at two year lows. They are a key benchmark of economic strength & macro stability. S&P is almost near LTH. Basically financial conditions are loose the most in last 2 years even with real rate of 250bps. But basis one seasonal data affected NFP, Fed Chair invokes "wat ever it takes to support employment" does not sound apolitical of Fed. Only time or data might judge this pivot. What is more puzzling is fed knows that UR has gone up from 3.5 to 4.3 due to more supply of labor (courtesy high immigration of last 2 years) and not bcs of job losses. A true recession has IJC north of 350k (current 230k), UR north of 5%(current 4.3%) & sustained NFPs of 50k or lower (current 3m average is 170-180k) And we might still end dec'24 with core pce at 2.8% only against target of 2%. Last mile reduction of inflation is notoriously difficult. But then only data might show whether the pivot was ill timed or not.
image
Comments
image
Admin iconGold User
25 days ago
icon
Img
Much depends upon Aug NFP on whether Sep sees a 50bps or a 25bps cut.
image
Comments
image
Admin iconGold User
27 days ago
icon
Img
Markets are pricing in more rate cuts than previous soft landing cycles.
image
Comments
image
Admin iconGold User
30 days ago
icon
Img
Inflation swaps across major economies.
image
Comments
image
Admin iconGold User
33 days ago
icon
Img
The revised NFP nos will be getting released on 21st Aug. Markets seems to be punting on a reduction of 600k from previous released nos.
image
Comments
image
Admin iconGold User
35 days ago
icon
Img
Rate cuts in US are being faded away fast. Our call yest post cpi data on paid on 2yr US Sofr working from 3.70-3.75 levels. Now at 3.88. We target 3.98-4%. Now till 30th aug there is no major data except Jackson hole on 22nd aug. So -ve carry strategies such as received on US sofr might get stopped out gradually till end Aug. Hence yields might only drift higher, though not too much. A good point to receive rates might be around pre nfp data next month. Or 10yr USTs around 4% levels. Or steepeners around 2-10s around -45 levels.
image
Comments
image
Admin iconGold User
35 days ago
icon
Img
Rate cuts being faded away fast.
image
Comments
image
Admin iconGold User
35 days ago
icon
Img
Core PCE estimates from major US banks
image
Comments
image
Admin iconGold User
36 days ago
icon
Img
Looking at the broader breakdown, most categories posted an increase in July, with the exception of core goods, which has been driving the cooldown in inflation for some time. The pickup in core services is notable (yellow bar).
image
Comments
image
Admin iconGold User
36 days ago
icon
Img
One-year zero-coupon inflation swaps are almost back where they were before the Aug. 2 nonfarm payrolls number raised recession concerns. They hit the lowest in more than three years during the volatility spike on the Monday that followed that payrolls print. But they’re almost unchanged after today’s data.
image
Comments
image
Admin iconGold User
36 days ago
icon
Img
The comeback in the so-called supercore measure of inflation, core services less housing, points to lingering price pressures that will keep the Fed cautious in cutting interest rates as much as some traders were expecting. The monthly measure rebounded 0.21% in July, after two back-to-back monthly declines. The annual measures did slip further to 4.48% in July, from 4.67% in June.
image
Comments
image
Admin iconGold User
36 days ago
icon
The 0.5% increase in primary rents (vs. 0.3% prior), and 0.4% gain (vs. 0.3% prior) in owners-equivalent rent (OER) were both sharply higher than June, and even higher than the monthly average so far this year.
image
Comments
image
Admin iconGold User
36 days ago
icon
Img
With headline CPI falling to 2.9%, the real fed funds rate rose to 2.6%, the highest since 2007. The Fed needs to lower benchmark borrowing costs just to keep the real rate from tightening further.
image
Comments
image
Admin iconGold User
36 days ago
icon
In today's US CPI data, shelter inflation edged higher again, rising 0.4% on the month versus 0.2% in June, and overall supercore services (i.e., core services excluding housing) rose 0.21% on the month, which is quite moderate but higher than the small drops registered in May and June.
image
Comments
image
Admin iconGold User
36 days ago
icon
Img
Fed's RRP usage drops below 300 BN USD
image
Comments
image
Admin iconGold User
36 days ago
icon
Img
The next 12 months might see major rate cuts globally.
image
Comments
image
Admin iconGold User
38 days ago
icon
Img
Regulators told commercial banks in China’s Jiangxi province not to settle their purchases of government bonds, taking some of the most extreme measures yet to cool a market rally that has alarmed Beijing. Several rural banks failed to settle their transactions on Monday after regulator guidance to halt purchases late on Friday, said people familiar with the matter, asking not to be named discussing private information. While reneging on trades is one way to prevent banks from taking excessive bond risk, the practice could undermine market integrity if counterparties worry that more transactions will fail.
image
Comments
image
Admin iconGold User
38 days ago
icon
Img
Unemployment rate rises gradually then picks up suddenly.
image
Comments
image
Admin iconGold User
38 days ago
icon
Img
Chinese Govt Bonds yields continue to fall.
image
Comments
image
Admin iconGold User
39 days ago
icon
Img
US junk loan funds suffered their biggest outflows since early 2020 during the recent plunge in global financial markets, as investors fretted about the impact of a potential economic slowdown on highly indebted companies. Investors pulled $2.5bn out of funds that invest in junk, or leveraged, loans during the week to August 7, according to data from flow tracker EPFR, with the withdrawals concentrated in exchange traded funds.
image
Comments
image
Admin iconGold User
42 days ago
icon
Img
A possible head and shoulders pattern may have developed since late 2022 for the 2-year Treasury yield, with the very broad 1.70% range between 3.55% and 5.25%. If this triple-top reversal pattern holds, a breach below 3.55% could target about 1.83%, which is near the 2019 yield high of 1.80% that now represents support. There's interim support centered around 2.76%, an early 2022 consolidation area.
image
Comments
image
Admin iconGold User
42 days ago
icon
Curves tend to steepen before the formal start of recessions as forward rates adjust to expectations for easier monetary policy, led by the Federal Reserve reducing interest rates. The bull steepening then continues well into and usually following a recession -- at least over the past 40 years. We still expect further bull steepening as the Fed prepares to cut rates.
image
Comments
image
Admin iconGold User
42 days ago
icon
Img
The spread between 2yr UST & FFR have never been this low.
image
Comments
image
Admin iconGold User
42 days ago
icon
Img
It seems the Street is reluctant to pay up for duration now that equities have stabilized to a degree, and today’s 10-year auction was a bit of a shocker.
image
Comments
image
Admin iconGold User
43 days ago
icon
Img
US IG bonds supply stats for the week
image
Comments
image
Admin iconGold User
43 days ago
icon
Img
US 30-year mortgage rates plunged last week by the most in two years, reaching their lowest level since May 2023 and sparking a surge in refinancing applications. The contract rate on a 30-year fixed mortgage declined 27 basis points to 6.55% in the week ended Aug. 2, according to Mortgage Bankers Association data released Wednesday. The rate on a five-year adjustable mortgage plummeted 31 basis points to 5.91%, the lowest this year. An index of refinancing jumped nearly 16% last week to a two-year high of 661.4.
image
Comments
image
Admin iconGold User
44 days ago
icon
Img
US corp bond spreads rising fast.
image
Comments
image
Admin iconGold User
44 days ago
icon
Img
The rush into shorter-dated Treasuries yesterday briefly drove yields on two-year US Treasury notes below those on 10-year US treasury bonds for the first time in over two years. Known as a disinversion, that flipped the yield curve back to its usual shape again — a shift that’s typically seen as a sign of an imminent recession.
image
Comments
image
Admin iconGold User
44 days ago
icon
Img
The New York Federal Reserve said it accepted $316.246 billion submitted to its overnight reverse repo facility on Monday, the lowest since May 2021. The fall in RRP does not augur well for risk assets.
image
Comments
image
Admin iconGold User
45 days ago
icon
Img
Fed fund futures prices for next 4 meetings.
image
Comments
image
Admin iconGold User
46 days ago
icon
Img
EM dollar bonds are faring better than local currency notes.
image
Comments
image
Admin iconGold User
46 days ago
icon
Img
The recent steepening in US curve has predominately been about rising expectations of a soft landing, not increased recession risk. The market’s implied probability of a hard landing has increased, but only modestly.
image
Comments
image
Admin iconGold User
46 days ago
icon
Img
118bps of rate cuts priced by Dec'24. We will know it's worth after Aug NFP.
image
Comments
image
Admin iconGold User
46 days ago
icon
Img
Markets are aggressively pricing rate cuts just like Dec'23.
image
Comments
image
Admin iconGold User
48 days ago
icon
Img
June 2026 SOFR futures are rapidly heading towards the Fed dot for the long-run rate projection. Going below it would be a pretty good sign the market is gunning for a recession.
image
Comments
image
Admin iconGold User
48 days ago
icon
Img
Fed Funds Futures now showing 100% prob of Sep 25 bp cut and 66% prob of 50bps cut... By Dec-end the pricing is now 100% for 4 cuts and 33.5% for 5 cuts. Clearly some aggressive pricing now.
image
Comments
image
Admin iconGold User
49 days ago
icon
Img
The big picture is Fed is still counting employment situation as normal. It is not. At all levels of labor, there is massive unemployment and rising fast. US rates are still not pricing in an accident. So min 3 cuts we should see in REMCY24. 10yr UST 3.50 target again by end dec. There will b volatility but it's a buy on dip. View goes wrong if weekly close abv 4.35.
image
Comments
image
Admin iconGold User
50 days ago
icon
Img
With Tbills almost 22% of outstanding US public debt, it's a direct QE. With IG bonds repayment of 1.4tn usd already covered 70% by issuances FYTD of 1tn usd, REMCY24 might see 10yr UST strong demand.
image
Comments
image
Admin iconGold User
50 days ago
icon
The US treasury quarterly refunding announcement today maintained the key phrase: Based on current projected borrowing needs, Treasury does not anticipate needing to increase nominal coupon or FRN auction sizes for at least the next several quarters. Long end catching a bid. 10yr UST now 4.10. 2-10 US SOFR curve flatter by 3 bps for the day. Buyback size quarterly has also been doubled to 30bn usd.
image
Comments
image
Admin iconGold User
50 days ago
icon
Img
US housing affordability dilemma
image
Comments
image
Admin iconGold User
50 days ago
icon
Img
US home prices remain high & affordability very low due to high high prices as well as mortgage rates. Resales are not happening bcs existing investors had locked in very low mortgage rates in 2020-2022.
image
Comments
image
Admin iconGold User
50 days ago
icon
Img
Container freight rates are through the roof.
image
Comments
image
Admin iconGold User
51 days ago
icon
Israel strikes Beirut suburbs. UST now 4.14. A daily close today below 4.15, opens the path to 4.00, dec'23 lows.
image
Comments
image
Admin iconGold User
51 days ago
icon
Img
US Tbills issuance as a % of marketable debt is way higher than TBAC guidance limits. And likely to remain so in CY25 too.
image
Comments
image
Admin iconGold User
51 days ago
icon
Img
US tbills supply will continue to shoot up. But is it a stealth QE? By cutting down on duration supply it is. US Tbills now comprise more than 21% of all marketable debt outstanding; that’s above the 15%-20% range recommended by the Treasury Borrowing Advisory Committee.
image
Comments
image
Admin iconGold User
51 days ago
icon
BANK OF JAPAN TO CONSIDER ADDITIONAL INTEREST RATE HIKE, INCLUDING RAISING INTEREST RATES TO AROUND 0.25% - NHK. Commodities -ve, equities -ve, 10yr UST actually +ve.
image
Comments
image
Admin iconGold User
51 days ago
icon
The U.S. Department of the Treasury today announced its current estimates of privately-held net marketable borrowing for the July – September 2024 and October – December 2024 quarters. During the July – September 2024 quarter, Treasury expects to borrow $740 billion in privately-held net marketable debt, assuming an end-of-September cash balance of $850 billion. The borrowing estimate is $106 billion lower than announced in April 2024, largely due to lower Federal Reserve System Open Market Account (SOMA) redemptions and a higher beginning-of-quarter cash balance. During the October – December 2024 quarter, Treasury expects to borrow $565 billion in privately-held net marketable debt, assuming an end-of-December cash balance of $700 billion.
image
Comments
image
Admin iconGold User
52 days ago
icon
Img
GS expects headline cpi in US to end at 2.8% by end CY24
image
Comments
image
Admin iconGold User
53 days ago
icon
Img
The monetary policy outlook is less of a tailwind for longer bonds than most people expect, because 10-year yields are so low relative to the cash rate as the easing cycle approaches.
image
Comments
image
Admin iconGold User
53 days ago
icon
Img
CRE is the single largest source of distress globally.
image
Comments
image
Admin iconGold User
53 days ago
icon
Img
More than $94 billion of US commercial real estate is currently distressed, according to MSCI Real Assets, with a further $201 billion at risk of slipping into that category. A total of 1.5TN USD CRE loans mature in next 2 years.
image
Comments
image
Admin iconGold User
54 days ago
icon
Img
Blue-chip companies in US sold bonds this month at the fastest rate for any July in seven years, harnessing strong demand from investors looking to lock in high yields before the Federal Reserve starts cutting rates. The issuance rush isn’t expected to last all year. There’s likely to be a downshift as many dealers are forecasting between $1.3 trillion to $1.5 trillion of new issuance this year. There’s already been $959 billion of new bonds issued as of July 23, suggesting a pronounced slowing in the coming months of 2024. US investment-grade bond issuance has reached almost $92.2 billion this month, the biggest July volume since $123 billion was issued in 2017. That’s well over the top end of $85 billion dealers expected to be sold, with about a week left to go.
image
Comments
image
Admin iconGold User
54 days ago
icon
Img
A measure of home affordability in US is near its lowest level in more than three decades of data. With mortgage rates hovering around 7%, the monthly mortgage payment for someone buying a median priced home climbed to $2,291 in May, up from $1,205 three years earlier, according to the National Association of Realtors.
image
Comments
image
Admin iconGold User
55 days ago
icon
Img
The US Treasury on Monday will release estimates for federal borrowing and cash balances through September and the October-to-December period, possibly indicating how much it might have to reduce its store of funds before the debt limit will be reinstated on Jan. 2. A larger cash pile means that the department can keep its bill supply in tact, while a smaller buffer would require reductions in bill issuance.
image
Comments
image
Admin iconGold User
56 days ago
icon
Img
2-10s inversion finally coming to an end as mkts build up 65bps cut possibility in REMCY24.
image
Comments
image
Admin iconGold User
56 days ago
icon
Img
The stock-bond ratio is mean reverting and is stretched to the upside. The decline has just begun and this ratio could fall much further before it stabilizes. At the moment, a plausible scenario is that it is driven lower by further stock weakness and haven bond buying, taking yields down towards 4%.
image
Comments
image
Admin iconGold User
56 days ago
icon
Img
After the Q2 CY24 strong GDP no in US today, we can still expect 25bps cut each in Sep & Dec Fed meetings.
image
Comments
image
Admin iconGold User
57 days ago
icon
Img
2-10s steeper to levels last seen in nov23. 5-30s steeper to levels last seen in may23.
image
Comments
image
Admin iconGold User
57 days ago
icon
Img
BOC has cut by 25bps today in its 2nd cut move in this CY. Going by the language of the BOC & the huge repayment maturity wall in early 2025, we can expect another 25bps cut each in sep and dec.
image
Comments
image
Admin iconGold User
57 days ago
icon
Img
July month end extension report
image
Comments
image
Admin iconGold User
59 days ago
icon
Img
Will Bank of Canada surprise this Wednesday by not cutting??
image
Comments
image
Admin iconGold User
60 days ago
icon
Img
CCC rates bonds spreads have widened significantly.
image
Comments
image
Admin iconGold User
60 days ago
icon
Img
The credit world’s version of the “Trump trade” is beginning to take shape: Buy American high-yield bonds and steer clear of anything inflation-sensitive. Also US high yielders are mostly domestic revenue focussed hence less at risk from Trump's trade wars.
image
Comments
image
Admin iconGold User
60 days ago
icon
Img
Rising Producer Prices do not augur well for Asian economies.
image
Comments
image
Admin iconGold User
61 days ago
icon
Img
Markets are always ahead of Fed.
image
Comments
image
Admin iconGold User
61 days ago
icon
Img
Credit spreads seem to have bottomed out finally.
image
Comments
image
Admin iconGold User
63 days ago
icon
Img
Open interest yesterday dropped $4.3m/DV01 in the ultra-long bond contracts, largest since the roll into September tenors. There were also drops in open interest of roughly $150k/DV01 and $450k/DV01 in long-bond and ultra 10-year futures indicating additional position unwinds in these parts of the curve. Implying steepeners are getting unwound.
image
Comments
image
Admin iconGold User
63 days ago
icon
Img
A $1.1 trillion slug of US corporate bonds across high grade and junk in the first half of this year certainly seemed like a lot. But actual new supply was half that after maturities, principal payments, open-market repurchases, tender offers and calls, data compiled by Bloomberg show. It’s a similar story in leveraged loans, where sales in the first six months doubled all of the prior year — but over 90% was to reprice or refinance old debt.
image
Comments
image
Admin iconGold User
63 days ago
icon
ECB OFFICIALS CONSIDER IF ONLY ONE MORE CUT IS FEASIBLE IN 2024. That is way different than the current 43bps of cuts priced in right now.
image
Comments
image
Admin iconGold User
64 days ago
icon
Img
US debt ratios are so high in a peace time as now.
image
Comments
image
Admin iconGold User
64 days ago
icon
Img
Open interest dropped around $700k/DV01 in the Dec24 SOFR futures following flows on the day which included a $575k/DV01 outright screen sale and decent demand for additional shorts in the contract via Sep24/Dec24 steepener trades There were also large amounts of liquidation seen in the Jun24, Sep24 and Sep25 SOFR futures. The largest position cut was seen in the Sep25 tenor for a risk weighting of $1.4m/DV01
image
Comments
image
Admin iconGold User
64 days ago
icon
Img
Credit spreads are flashing red.
image
Comments
image
Admin iconGold User
67 days ago
icon
Img
As the economy weakened in the lead-up to Covid, we saw 2s10s move much more aggressively toward inversion. But when the Fed (and fiscal larges) rode to the rescue, that curve steepened aggressively to close the gap to the 5s30s differential. Put simply, the back end steepened first, presenting an opportunity to anticipate that 2s10s would follow. The same is true again today.
image
Comments
image
Admin iconGold User
68 days ago
icon
Img
Japanese workers’ base salaries jumped the most since 1993, an encouraging sign that the underlying pay trend may start to support consumption and enable the Bank of Japan to raise interest rates again.
image
Comments
image
Admin iconGold User
68 days ago
icon
Img
Eurozone rate cut market pricing looks too pessimistic, with space for another two cuts this year and ECB minutes pointing to cuts in September and December as the headline rate of inflation dips below the ECB's 2% target in 2H.
image
Comments
image
Admin iconGold User
70 days ago
icon
Img
Housing payment as a % of median income is again rising.
image
Comments
image
Admin iconGold User
72 days ago
icon
Img
There’s a slowdown afoot in the job market that could worsen. The number of people who have been looking for a job for 15 weeks or more rose in June to the highest level since early 2022, when that measure was rapidly declining.
image
Comments
image
Admin iconGold User
72 days ago
icon
Img
June'24 CPI forecast
image
Comments
image
Admin iconGold User
73 days ago
icon
Img
The steepener trade in US SOFR has yet not meaningfully started. But with 2 cuts almost priced in CY24 & long end elevated due to Trump expectations, the time for steepeners is now.
image
Comments
image
Admin iconGold User
73 days ago
icon
Img
Apollo’s chief economist, Torsten Slok, had recently observed that interest payments on US Treasuries have doubled from around $1B per day before the pandemic to about $2B now.
image
Comments
image
Admin iconGold User
74 days ago
icon
Img
In a surprise twist to French elections, left seems to be the front runner now with Le Pen'RN at no 3. Left likely to get 190-220 now against centrist 180 and RN's 160. Euro should suffer now considering left known agenda of higher spending and less EU relationship.
image
Comments
image
Admin iconGold User
74 days ago
icon
Img
This week's UST supply.
image
Comments
image
Admin iconGold User
74 days ago
icon
Img
We expect US headline cpi at 0.1% and core at 0.2% for June.
image
Comments
image
Admin iconGold User
75 days ago
icon
Img
With STIR markets more or less completely discounting two rate cuts for this year, we should try to crystal gaze in to 2025 pricing. Before the release of the data, the December 24/December 25 SOFR spread was priced at 89 ticks; this has widened to 93 by Friday EOD. That’s still less than the 100 bps of easing that the FOMC has projected for next year.
image
Comments
image
Admin iconGold User
75 days ago
icon
Img
Eurozone Yield curve always steepen first & faster than US yield curve. Reason being most of Eurozone supply is focussed in 8-10yr part of the curve & pension/insurance in Eurozone do most of the hedging of their liabilities by paying in 15yr segment. This keeps the term premium high on long end in Eurozone. Hence faster & first steepening in Eurozone.
image
Comments
image
Admin iconGold User
75 days ago
icon
Img
Buying conditions for housing in US has deteriorated to multi decade lows reaching levels seen only in 1974 and 1981. If people don't buy, they rent. Hence OERs will remain elevated. Hence core pce will remain elevated. But will it stop fed from cutting. NO. Infact the opposite. They need to cut rates to bring inflation down this time.
image
Comments
image
Admin iconGold User
77 days ago
icon
Img
Proposed US tariffs definitely not good for US rates
image
Comments
image
Admin iconGold User
80 days ago
icon
Img
With US Supreme Court ruling today that Trump has some immunity from criminal charges for trying to reverse the 2020 election, all but ensuring that a trial won’t happen before the 2024 vote. This implies no legal hurdle now for Trump on his way to the elections. Politically he is miles ahead of Biden in ratings. UST yields since Friday have been pricing this risk. Tariffs, immigration controls, tax corporate tax cut extensions. All -ve for long end yields. So we have seen almost 20bps upmove in UST yields since Friday night itself.
image
Comments
image
Admin iconGold User
81 days ago
icon
Img
The amount of debt sold by government and corporate borrowers in developing markets has reached $321 billion in the busiest first-half since 2021, according to data compiled by Bloomberg. Still, forecasts from JPMorgan Chase & Co. and Bank of America Corp. show issuance is poised to slow more than usual after borrowers rushed to meet their funding needs at the beginning of the year.
image
Comments
image
Admin iconGold User
82 days ago
icon
Img
Credit Risk now lies predominantly on Sovereign Bonds in Eurozone.
image
Comments
image
Admin iconGold User
84 days ago
icon
Img
How AI can be significantly inflationary in short term!
image
Comments
image
Admin iconGold User
84 days ago
icon
Img
UST liquidity conditions only worsening!!! Even QT taper can't help.
image
Comments
image
Admin iconGold User
84 days ago
icon
Img
Change in Aussie rate change projections!!
image
Comments
image
Admin iconGold User
84 days ago
icon
Img
The global disinflation narrative may have run its course. That poses risks for bond bulls. US yields broke above a well-defined range Wednesday after Australia reported faster inflation for a third-straight month. That’s on top of Canada’s inflation surge reported Tuesday. And the US is offering several signs inflation is creeping back in. New home sales slumped in May and single-family homes sold, but not yet started, fell to 72,000 units SAAR in May, a fresh cycle low. That means less supply of new homes while the market remains tight. This comes at a time when prices of an existing home is already at a record. Meanwhile, the AI frenzy is likely to prove inflationary. Micron Technology reported demand is causing tightness on leading-edge nodes. It expects continued price increases throughout the fiscal year while 2024 DRAM and NAND industry supply is below demand. Five of eight Fed surveys reported higher pricing in June. And S&P Global PMIs reported manufacturers have higher raw material costs related to shipping, with supplier delivery times also lengthening for the first time in five months — hinting at some supply chain pressures. Meanwhile, wage growth remained a major driver of higher costs in the service sector, S&P Global said. Treasury investors, who hold the biggest net long since March, have been so laser-focused on the easing cycle that they stopped paying attention to the data. But with the Atlanta Fed still forecasting more than 3% growth, a Cleveland Fed report suggesting inflation may need years to return to 2%, US deficit news being ignored and a still strong labor market, it leaves the bond market at serious risk of another whiplash.
image
Comments
image
Admin iconGold User
85 days ago
icon
Img
BofA expects monthly issuance of IG bonds in July at 75-85bn usd against last 3 yr July average of 90bn usd.
image
Comments
image
Admin iconGold User
85 days ago
icon
Img
Canadian Rental Inflation Through the Roof
image
Comments
image
Admin iconGold User
85 days ago
icon
Img
Weekly chart of 10yr UST
image
Comments
image
Admin iconGold User
85 days ago
icon
Img
The Japanese bond supply dynamics favor a steeper yield curve for Japan’s government bonds and for super-long tenors to underperform relative to swaps. The nervousness of JGB investors about planned reductions in the Bank of Japan’s bond purchases can be easily understood when we look into the supply of debt. The chart below shows monthly auctions of the securities, the BOJ’s purchases and resultant net supply. The amounts are adjusted for interest-rate risks for apples-to-apples comparison.
image
Comments
image
Admin iconGold User
85 days ago
icon
Img
Australia’s inflation accelerated faster than expected for a third straight month in May, sending the currency higher as traders boosted bets the Reserve Bank will resume raising interest rates at its next meeting. The monthly consumer price indicator climbed 4% from a year earlier, exceeding economists’ estimate of 3.8%, government data showed Wednesday. The trimmed mean core measure, which smooths out volatile items, advanced to 4.4% versus 4.1% a month earlier.
image
Comments
image
Admin iconGold User
85 days ago
icon
Img
Australian bonds are getting hammered after the latest monthly inflation report that will keep an interest-rate hike well and truly on the table for the RBA. Should next month’s 2Q CPI print show anything like the broad uplift in costs we just got in the May reading, traders will be pricing for a cash-rate increase this year and bond yields should then move significantly higher. OIS contracts already jumped today to show ~40% odds for an August hike after the May report showed headline inflation jumping to an annual 4% pace. Even more concerning for bond investors, a measure aligning with the RBA’s core gauge soared to 4.4%, from 4.1% in April and 4.0% for 1Q. Today’s report adds another chapter to an already impressive volume arguing against the narrative that global inflation has been tamed. Aussie 10-year yields have moved substantially above US peers for the first time since early February. Unless US PCE inflation also surprises to the upside on Friday the Australian premium over Treasuries can march on toward 10bps and beyond from about 5bps now.
image
Comments
image
Admin iconGold User
85 days ago
icon
Img
If -73 gets taken out on 2-10 US SOFR curve, expect some more flattening.
image
Comments
image
Admin iconGold User
85 days ago
icon
Img
Top 20 SOFR option OI
image
Comments
image
Admin iconGold User
85 days ago
icon
Img
Most active Soft option strikes.
image
Comments
image
Admin iconGold User
85 days ago
icon
Img
HFs versus AMs tug of positioning on USTs continue. In CFTC data through June 18, asset managers extended their net duration by roughly 141,000 10-year note futures, with overall long duration rising to roughly 7.6 million 10-year note futures equivalents. Hedge funds took the other side, adding around 186,000 10-year note futures to net short duration position. Their extension of net short position in 2-year note futures by $5.6 million per basis point in risk put them at a record net short at over 2 million contracts.
image
Comments
image
Admin iconGold User
85 days ago
icon
Img
Option premiums just about neutral. After premium to hedge a rally in Treasuries rose to highest levels of the year a couple of weeks ago, the skew has drifted back to just above neutral across the curve. Over the past week, open interest has built substantially in the August 111.50 calls — targeting a 10-year yield at around 4.10% ahead of the July 26 expiry. As of Monday’s close, open interest was at 128,524 and roughly twice the size of the second-largest open interest seen in the August 110.00 puts (65,470 options).
image
Comments
image
Admin iconGold User
86 days ago
icon
Img
If disposable income keeps this pace, you know where rates are headed!
image
Comments
image
Admin iconGold User
87 days ago
icon
Img
The neutral real rate this cycle is much higher than previous cycles.
image
Comments
image
Admin iconGold User
88 days ago
icon
Img
Why rising food prices & fuel prices do not augur well for inflation globally in H2CY24
image
Comments
image
Admin
121 days ago
icon
FED'S BOSTIC: I AM EXPECTING INFLATION TO DECLINE BUT RELATIVELY SLOWLY, WOULD NOT EXPECT A RATE CUT BEFORE THE FOURTH QUARTER.
image
Comments
image
Admin
134 days ago
icon
JPMORGAN: The US consumer’s net worth “has increased ~$37T, or +33.6%, since the beginning of 2020, including $5T in realized capital gains from 2020 – 2022. Those capital gains, even if taxed at 37%, means that [Fed models] are undercounting Consumer cash levels by at least $3T. .. if an investor is using the Excess Savings metric, it gives a false sense that the US Consumer is on the precipice of rolling over .."
image
Comments
image
Admin
140 days ago
icon
Tomm pre nfp one should add more risk to long 10yr UST. v might see UST yields breaking down tomm post nfp. UST traders are waiting for nfp data uncertainty to get over tomm . As long as headline no is around 250-275k, they will create a rally till 4.45 post nfp. One look at EM fx & Brent & wonder why 10yr UST is still 4.6. either em fx/Brent is wrong or UST is far undervalued. My sense is USTs are undervalued.
image
Comments
image
Admin
141 days ago
icon
US sets quarterly refunding announcement at 125 BN USD in line with estimates. Key Observation: US treasury to keep auction sizes constant for next several quarters. Buybacks to start from end May. Net net +ve for bond yields.
image
Comments
image
Admin
147 days ago
icon
US ond yields reacting more to the pce component of GDP. It came at 3.7% vs 3.4% expected. V can expect tomm core pce nos nos now to print 2.8% yoy and .4% mom. The GDP nos are pretty strong if v remove the .9% impact of net imports.
image
Comments