Inversion round trip
June 28, 2023
–I marked 2/10 at -99.4 using the new 2y. However, the old 2y (May ’25) has a yield over 6 bps higher at 4.829% vs new at 4.76%. Using the old 2y yield gives a 2/10 read of -106.3, very close to the pre-SVB low of -109. Attached is a chart of SFRU4/SFRU7 which tracks 2/10 closely. Pre-SVB the low settle was -97.5 and yesterday it was -97. The intervening high was +18 on May 4. That’s quite a round turn of 115 bps in just four months! On the SOFR curve reds were down 11.5bps, greens -8 and blues -4.75. SFRH4 settled 9498.5 or 5.015%, lowest settle since March 8.
–ECB banking forum features Bailey, Lagarde, Powell and Ueda on a panel today which occurs, I believe, at 9:30 EST. Treasury auctions $35b in 7s today.
–Equity indexes ripped higher yesterday, but have given back a little this morning as the US weighs AI chip restrictions to China.
