US Dollar (USD)
The SOFR/FF basis dipped into the CME auction, with the biggest swings in the long end not surprisingly. The basis then bounced afterwards.
Despite underwhelming realizeds, gamma on longer tails has firmed today. Big Bang comes and goes. Deutsche favors shorting 1y10y as short term risks
The CME announced that it has successfully executed the SOFR Basis Swap Auction.
The 2nd largest bank deal - BofA's $8.5bn 5-part - boosted a lackluster week of issuance. Lower volumes are expected this week.
The mood in US markets at the start of this new week was one of optimism regarding a stimulus breakthrough. Right now, eyes are on the CME big bang.
BEs reluctantly rode the risk on move spurred by better retail sale today amid an otherwise tranquil trade. Attention shifts to 5y TIPS auction.
USTs are bear steepening modestly as equities climb a wall of worries. More banks look into the Big Bang weekend.
The 10s/30s UST curve is unchanged as the latest global corona yield grab fades. Banks look at Big Bang weekend.
BEs followed the ebb and flow with broader risk tone, ultimately ending mixed but little changed. Treasury announced new 5y TIPS.
Traders are hoping, praying that all goes well in tomorrow's Big Bang transition. Some feel banks are prepared while others are more wary.