Tribal Cap, Daily Cash and Futures, 5/22/19

Pls see the attached PDF for today's pivot & ATR targets

* Week over week, the front end has been the laggard and currently 2s are 8.38bpts higher in yield (2.2434% vs 2.1596%) and have seen a 12.3bpt hi/lo range. Futures have really lead the sell off and it seems like the large volume (block) buying that took place in TU on May 8th, 9th and 10th may be seeing a bit of unwinding. Interestingly, 2yr swap spreads lead on the way down in rate then and remain resilient to the sell off yesterday. In fact, 2yr spreads closed yesterday tighter than 6bpts for only the 25th time in HISTORY.

* Marginal risk off tone this morning in risk assets. Here in the US, eminis are off 4 handles at 2862 on 148k in volume - note the 10 day high volume px is 2866.50. However, Europe is mostly marginally higher lead by the FTSE at +0.43%. Asia was little changed w/ the Nikkei all but flat at +0.05% bu the CSI 300 was off 0.47%.

* Marginal risk off tone this morning in risk assets. Here in the US, eminis are off 4 handles at 2862 on 148k in volume - note the 10 day high volume px is 2866.50. However, Europe is mostly marginally higher lead by the FTSE at +0.43%. Asia was little changed w/ the Nikkei all but flat at +0.05% bu the CSI 300 was off 0.47%.

* Libors were marginally higher this morning lead by 12m at +1.2bpts but mixed week over week. Here are the changes from the cycle highs:

* Libors were marginally higher this morning lead by 12m at +1.2bpts but mixed week over week. Here are the changes from the cycle highs:

Libor Update.JPG
3s/1s basis swaps across tenors:

3s/1s basis swaps across tenors:

Ian C. Burdette, CFA, CMT Senior Managing Director

Ian C. Burdette, CFA, CMT
Senior Managing Director

MBE