Near SOFR contracts continue to explode higher
March 13, 2023
–SFRU3 the strongest contract as of this writing, up an even 50 bps to 9537.5 as Goldman now says Fed will not hike next week. Thursday’s low in SFRU3 was 9429.5, so up over 100 in a couple of days. April FF had traded as low as 9498 as calls for a 50 bp hike became more shrill early last week. Now trades 9529 or 471, about halfway between 0 and a 25 bp hike at the March 22 meeting. The Fed is guaranteeing depositors to prevent a wider bank run. Signature bank was closed over the weekend.
–Gold is nearing $1900/oz again and bitcoin is 22k, both reflecting concerns over the health of financial architecture.
–In 2023 the range in 10y yield has been 337 to 406, now 355. The range in 30y has been 354 to 400, now 364. Can the market continue to hold 100% faith in long treasuries as a whole new support system grows which further shifts private obligations to the Federal Govt balance sheet?
