Down to the wire
October 31, 2024
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–New highs in near sofr calendar spreads as the 2y area bore the brunt of selling. 2y yield +3.9 bps to 4.156. 10’s were unch’d at 4.272 and 30s -3.5 at 4.482. 5/30 treasury spread new low at 35 bps. SOFR spreads: SFRZ4/Z5 new high -73.5, up 5.5 on the day (9562/9635.5) and H5/H6 -43.5 up 4.5 on the day (9595/9638.5). SFRH6 & M6 are peak contracts on the sofr strip at 9638.5. One month ago on 9/30 they were 9710 and 9708.5, a 70 bp sell-off. Yesterday, reds led, -5.875, greens -3.625, blues -1.25 and gold, the fifth year forward that trade more like the longer end of the treasury curve, up on the day +1.125.
–Stocks under a bit of pressure with MSFT down around 4% pre-mkt and META -3.7%. SMCI was down 33% yesterday as Ernst & Young resigned as the company’s accountant. Perhaps worth a mention, LLY down 6.3% yesterday on earnings; market cap around the same as TSLA.
–New Treasury Sec’y Paulson is vowing to work with Musk to slash gov’t spending. (If the garbage truck stunt doesn’t put Trump over the top I will be astonished). Huge gov’t deficits have been keeping the plates spinning. What worked for Argentina may take some time here in the US. On the other hand, the UK seems destined for new high yields. From Reuters: [UK Chancellor] Reeves’ plans will take the government’s tax take to a historic high of 38.2% of economic output by 2030.
–BOJ kept rates steady. Yen actually rebounding slightly from October’s long slump.
–Q3 advance GDP reported at 2.8% with strong Consumption. Today’s news includes ECI expected +0.9. PCE Prices m/m 0.2 with Core 0.3. YOY expected 2.1 from 2.1 and Core 2.6 from 2.7. Jobless Claims 230k. Chicago PMI expected 47.
