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Meanwhile in rates:

  1. SOFR–FFR spread: little changed. No sign of imminent funding stress.

  2. 30yr swap spread: continues to plunge since the war started. A clear sign of bond market stress.

  3. 30yr implied vol: has picked up, though not at extreme levels.

Oil could reverse, but I remain cautious on long-end Treasuries.

Mar 12
at
12:02 AM
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