Panic Abates
March 27, 2023
–New highs for the move in rate futures Friday, but panic subsided and futures retreated, to close nearly unchanged. It’s reported that First Citizens is acquiring SVB. Rate futures considerably lower this morning. For example, SFRH4 posted a high Friday of 9684 but settled 9652.5 (just +2.5 on the day at settle) and this morning prints a low of 9630.5. so over 50 bps of range in less than two sessions.
–On Friday SFRM3/M4 settled at a new low of -145 (9529/9684). That’s a significant amount of easing, if realized. This Friday the Fed’s preferred measure of inflation is released, PCE prices expected 5.1% from 5.4, with Core expected 4.7 from 4.7. With last week’s hike to 4.75/5.0 for the FF target, funds are now above the Core inflation number, in other words, restrictive.
–Fed speakers throughout the week. Jefferson this afternoon post-close. Waller on Friday. Auctions of 2, 5 and 7 year notes start today.
