Small financial cracks
February 9, 2023
–Buyer Wednesday of 50k SFRU3 9462.5/9412.5ps for 8.5 covered 9494.5, 18d. Adds to yesterday’s 100k+ buy of the 9450/9400ps for 6.0 cov 9495.5, 14d. Buyer of 20k SFRZ3 9425/9375ps for 3.5, ref 9526. While there’s a lot of option related sell pressure on the front end, and Fed speakers acknowledged more hikes to come, SFRU3 settled +0.5 at 9494.0. It’s somewhat interesting that there’s now 2.9 million SFRU3 put open interest, while futures have just 867k. FFJ3 settled unch’d at 9516 or 4.84%. April is a ‘clean’ month without a Fed meeting. That settle is 26 bps above the current Fed Effective rate of 4.58%, so 25 at the March FOMC is in the bag.
–Stellar 10y auction at 3.613% with great demand metrics. Thirty year today with treasury futures higher across the board this morning. TYH3 settled 113-13, current 113-22+. Jobless Claims this morning expected 190k. Credit Suisse is down 9% this morning with a myriad of news articles outlining continued problems, like this one from the FT: CS slumps to biggest annual loss since financial crisis. There are also fresh articles about vulnerabilities re Softbank, as Masayoshi Son reportedly owes $5b to Softbank. Are these financial fissures contributing to a US treasury bid?
