Payrolls
March 8, 2024
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–NFP expected 200k. Yields eased yesterday with 2s down 4.6 bps to 4.512% and 10s down 1.6 to 4.09%. Little change this morning though yen continues to strengthen with $/yen 147.16 as the BOJ is expected to end negative rates. Borrow yen, convert to dollars, buy NVDA. Can’t lose, right? But a strengthening yen can put a nick in expected profit.
–Next week brings auctions of 3s, 10s, 30s Monday, Tue, Wed. CPI Tuesday. With one week to go, midcurve straddle levels are fairly high. 0QH4 9687.5^ is 21 ref SFRH5 9592. 2QH4 9650^ is 18.5 ref SFRH6 9651.0. While there has been vigorous debate about the amount of easing that can occur this year, note that slightly forward one-year calendars are all around 125 bps, or roughly 5 eases. SFRH4/H5 is -121.75 (9470.25/9592), SFRM4/M5 is -121 (9495.5/9616.5). FFJ4/J5 is also -121. The yield on SFRH5 is 4.08%… one year away.
–Game of Trades X post says the the Mag-7 market cap is greater than that of all equity markets outside of the US.
–Consumer Credit bounced back in January, with revolving increasing at a 7.6% rate, to a level of $1.327T outstanding. The rate on “accounts assessed interest” is 22.75%. Assuming actual payment, that amounts to about $25 billion per month in interest.
–Yesterday I posted a SOFR option trade (condor) and incorrectly said it was M4 when it was actually MAY expiry.
