RIP McAfee and XBox
June 24, 2021
–Rates rose yesterday with green eurodollars, EDU23, Z23 and H24 settling -4.5, weakest on the curve. Tens rose just 1.5 bps to 1.485%. Selling pressure in dollars likely related to hedging for the 5-year auction and today’s 7-year. One new high to point out: EDZ21/EDZ22 plus 3 yesterday to 32.0. This is not the highest print of the year, but it is the highest settle. I have attached a chart of the constant maturity 2nd contract vs 6th contract, and technically it looks like Z1/Z2 could test highs from 2018 which were around 50. It was sometime in 2018 that I recall Brainard making an interesting comment noting that r*, the neutral rate, was actually going up with growth and somewhat higher levels of inflation.
–Jobless claims and Durables today, with the former expected 380k.
–Tomorrow brings the Fed’s preferred measure of inflation, PCE yoy Core prices, expected 3.4% from 3.1 last. That 3.1reading was the highest print since the early 1990’s. Of course, back then the ten year yield was around 7%, slightly higher than today’s 1.5%. July treasury options expire tomorrow, as of yesterday settles FVU 123-11, TYU 132-06 and USU 159-25, just otm puts: FVN 123.25p 3, TYN 132p 6, and USN 159.5p 18.
–Fannie and Freddie stock crushed yesterday as a court case ruled against them in a quest to have profits returned from FHFA. Lock in that mortgage NOW.
·The US believes I have hidden crypto. I wish I did but it has dissolved through the many hands of Team McAfee (your belief is not required), and my remaining assets are all seized. My friends evaporated through fear of association. I have nothing. Yet, I regret nothing.
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