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A daily read on the money system — rates, liquidity, scarcity, credit and governance, with the numbers attached.
The Curve Steepened 8.2 Basis Points. Credit Had Already Unwound 22.
The 2s10s slope went from 29.3 to 37.5 basis points in one session, the largest one-day steepening in this sample and tied with 28 September. The front end did the work: the 2yr fell 3.0 basis points to 4.67%, while the 10yr rose 5.2 to 5.045% and the 30yr rose 7.0 to 5.37%. Over the three sessions before it, high-yield OAS tightened 22.0 basis points to 3.18% (as of 27 October) and investment-grade OAS tightened 1.0, to 0.88%. So 21 of the 22 basis points were excess spread. Credit & Stress fell to +0.088 from +0.296, the weakest of the five sub-indices, while the composite held NEUTRAL at +0.348 on Rates & Policy at +1.048.
Equal-weighted percentiles of the history this site stores. 65.8 · GREED · HOW IT IS BUILT → · SHARE THIS →
| TENOR | LEVEL | 1D Δ | Z (3Y) | RANGE %ILE |
|---|---|---|---|---|
| 2Y | 4.610 | -0.060 | +1.39 | 78 |
| 5Y | 4.780 | -0.070 | +2.24 | 86 |
| 10Y | 4.980 | -0.070 | +2.51 | 84 |
| 30Y | 5.320 | -0.050 | +1.99 | 83 |
| INSTRUMENT | LAST | 1D Δ | 1W Δ | Z (3Y) |
|---|---|---|---|---|
| VIX | 17.20 | +0.29 | +0.23 | -0.09 |
| MOVE | 93.54 | -1.01 | -1.39 | +0.14 |
| DXY | 101.73 | -0.46 | +0.63 | +0.15 |
| USD/JPY | 157.56 | -0.28 | -0.29 | +0.94 |
| GOLD | $4,008 | -43 | -22 | +0.75 |
| COPPER | $6.559 | -0.082 | +0.294 | +1.92 |
| WTI | $103.43 | +0.65 | -2.90 | +2.06 |
| BTC | 77,195 | -4,073 | -633 | +0.08 |
| ETH | 2,205 | -152 | -34 | -0.61 |
| MSTR | 141.62 | -3.54 | -8.32 | -0.53 |
| SERIES | VALUE |
|---|---|
| SOFR (NY Fed) | 3.95% |
| EFFR (NY Fed) | 3.88% |
| IORB | 3.90% |
| SOFR − IORB | 0.050 bp |
| Reserve balances | 2,963 bn |
| Treasury General Account | 1,052 bn |
| Overnight RRP | 0 bn |
| 2s10s slope | 37.5 bp |
| 10Y real yield | 2.67% |
| 10Y breakeven | 2.38% |
| HY OAS | 3.18% |
| IG OAS | 0.88% |
| Initial claims | 194k |
| Continuing claims | 1,728k |
| CPI YoY | 3.72% |
| Core CPI YoY | 2.57% |
| Copper/Gold | 0.00165 |
| BTC 30d | -4.1% |
| BTC 5d | -0.8% |
