Swaps - USD
The FOMC did what CPI could not, with a substantial repricing in the belly of the curve, sending 2s5s30s to new highs for the year. Spreads widened
The financial landscape remains in a literal holding pattern ahead of today’s FOMC decision where no fireworks are expected by sources/dealers.
Traders and strategists await the Fed decision. Front FRA-OIS widens, Brevan increases its USD rates short and adds crypto.
The BOE-FCA today encouraged liquidity providers to switch to 'SOFR First' from July 26 after a survey found almost 100% support for the move.
USTs remain a tad softer in the wake of today’s strong PPI print and JP Morgan favors leaning bearish USTs into tomorrow’s FOMC.
Higher PPI but weaker retail sales left USTs a touch softer and B/Es wider. 3mL popped up but FRA-OIS is stable. Banks look at SOFR swap trading.
UST bear steepened and moved rates close to pre-CPI squeeze levels. Swap spreads mostly narrowed. JPM sees SOFR OTC growth "somewhat challenged"
IG saw a heady start last week with over $23bn priced in Monday, but the rest of the week fizzled, with $36bn in total. Surveys see a slowdown ahead.
A modest risk-on move has failed to seed USTs move from a very tight range as the market awaits the Fed. SOFR stories are swarming.
Some air is finally being let out of the tires of this week’s stealthy, squeezy rally but some remain cautious to fade. JPM looks at impact of BSBY.