Fixed Income Weekly Update

The fixed income market saw a broad rally last week as yields fell ~12bps driven by lower oil prices and mixed macro data. However, extreme short positioning in SOFR futures creates a risk of a front-end squeeze if data continues to soften.

Key Takeaways

• 1.Treasuries rallied significantly last week, with yields for 2s, 5s, and 10s falling approximately 11–12 basis points.
• 2.The decline in oil prices below $88 per barrel acted as a primary catalyst for the rally by reducing inflation concerns.
• 3.Leveraged funds have built historically extreme net short positions in 3-month SOFR futures, creating an asymmetric squeeze risk.

Table of Contents

• Monday Morning Insights
• Economic Calendar
• Yield Curve Opportunities
• Loan Strategies
• Specialty Finance