Notícias FX

The December Repricing Happened Yesterday. One of the Three Baselines Says Nothing Moved.

Everyone has the same number this morning: the December Fed hike probability is around 70%.

Three readers carry it; none agrees on what it fell from — more than 80% on Wednesday, about 83% on Wednesday, or more than 70.9% on Thursday. On the third baseline the repricing is nine-tenths of a point. Lined up by timestamp the four readings are not a conflict but a mislabelled time series: 80% survived into Thursday's US morning, 70.9% by Thursday's close, about 70% now. The move was Thursday afternoon's, and the same named feed — CME FedWatch — is quoted at 80 and at 70 by one wire service two hours apart. The better finding is the curve: the two-year fell 10 to 11bp to 4.46-4.47% while the ten-year fell only 5 to 4.83-4.84%, a six basis point bull steepening confirmed by a published 10y-2y spread at +0.38pp. A flight to quality flattens; this took money out of the next two meetings and left the term premium alone. The driver is in the swaps — the one-year US inflation swap fell 24.9bp to 2.16% and the euro one-year 25.9bp to 3.10% on a 9% crude collapse. VIX rose almost 70% to 28.17 while MOVE stayed below 100. And we finally opened Treasury's refunding statement: the guidance sentence is confirmed verbatim, $125bn settles 16 November raising about $28bn of new cash, the 7-year conversion does not start until March 2027, and our own caption dating the February refunding to the 1st was wrong — the issuer says Wednesday 3 February.

The ECB Holds at 2.50 With Inflation at 3.8. The Quarter's Growth Number Publishes Tomorrow.

At 13:15 UTC the European Central Bank is expected to leave the deposit rate at 2.50 per cent, six weeks after a 25bp hike put it there.

September euro-area headline inflation printed 3.8 per cent year-on-year against a market view of 3.6 and a prior of 3.2 — a six-tenths jump in one month and 1.8 points above target — with energy at 18.9 per cent year-on-year, up from 14.3, contributing 1.71 points of the headline against 1.29 before. So the headline was moved by one line item the Council cannot influence, which is a defensible reason to wait and an uncomfortable thing to say at a press conference. The pricing is what makes today small: roughly 20 basis points of tightening to end-2026 with only one or two attributed to this meeting, and one meeting left after it, so December holds essentially the whole move. An event priced at one or two basis points cannot deliver a dovish surprise — there is nothing to take out — and the only tail is hawkish, which means a two-way sizing is wrong in both directions. The inversion against Wednesday is exact: the Fed held 10–2 with both dissents for a hike and its entire hawkish signal lived in the vote, while the two-year fell 3.1 basis points to 4.706 and the ten- and thirty-year rose 3.3 and 4.6 to 5.024 and 5.351. The ECB publishes no vote at all, so the field that carried Wednesday's information does not exist today. And the Council's data dependence runs one day early: German flash GDP and its own forecaster survey publish at 09:00 UTC tomorrow, euro-area Q3 flash GDP at 10:00, German flash CPI at 13:00. Tonight's 44 billion dollar seven-year is scored against the last seven-year at 5.085 per cent, single-sourced.

A 0.9 Basis Point Tail on Better-Than-Average Demand, at a Yield Above the 30-Year

The Treasury reopened $13bn of twenty-year bonds at 17:00 UTC and the result points two ways at once.

Bid-to-cover came in at 2.73 against a six-auction average of 2.62 and 2.57 last month; primary dealers took 10.3 per cent against an 11.9 average and 16.9 previously; direct bidders 31.6 against 22.9. Three of four demand measures beat the average. It still tailed: high yield 5.469 per cent against a when-issued level of 5.460, which is 0.9 of a basis point of stop-through, 4.5 times the 0.2 basis point average and less than half last month's 2.0. So the concession shrank by more than half while the clearing yield rose 4.9 basis points - the same merge of demand with price that this desk flagged on the Japanese twenty-year two days ago, with the sign backwards in both hemispheres. It is also the first auction we can call a tail using the when-issued subtraction our own rulebook demands, which closes a refusal we published on Tuesday. The number worth carrying is neither: at 5.469 per cent the twenty-year cleared 5.6 basis points above the thirty-year at 5.4133 and 32.4 above the ten-year close of 5.145, so the government paid more to borrow for twenty years than for thirty. One publisher grades the auction C, a second calls it in line with no directional read, a third publishes the table with no verdict. The issuer's own result was not read and the when-issued level is single-sourced.

A Record 5.84 Times Bid-to-Cover, at a Yield 13 Basis Points Lower Than the Last One

Japan sold JPY 700bln of 20-year paper this morning at a bid-to-cover of 5.84 times — a record, against 4.01 at the last auction and a 12-month average of 3.73 — and it cleared at an average yield of 3.7230 per cent, 13.3 basis points below the previous sale. The tail more than halved, 0.07 against 0.15. The story being told is that a yield spike lured buyers in; the clearing level says this auction went 13 basis points richer than the last one, so the narrative and the print describe different quantities, and a trader who merges them has the sign backwards. We are also refusing the word tail: one reader defines it as the gap between average and lowest accepted prices, which is a dispersion measure, not the when-issued comparison our own rulebook means, and with no when-issued level we will not call 0.07 a stop-through. The curve did the work — the 20-year fell as much as 6 basis points to 3.71 per cent, its lowest since 9 September, the 30-year eased to 3.970 and the 10-year rose to 2.920, flattening 20s against 10s by 7.5 basis points to 79. The auction average and the market level sit 1.3 basis points apart. Dollar-yen moved 15 pips. The Ministry of Finance's own result was not read.

We Published 5.035 and 5.06. The Issuer Says 5.10, at an Hour Two of Our Three Slots Never See.

On Friday this desk put 5.035 and 5.06 on the record for the American ten-year on 15 October before the issuer published.

The issuer says 5.10. Both were low, by 6.5 and 4.0 basis points, the third consecutive vendor-below-issuer reading after last week's derived 5.09 against an actual 5.19. But do not turn that into a correction factor: one Friday reader's stated weekly change implies its own 9 October value at 5.243 against the issuer's 5.24, which agree to 0.3 of a basis point, so the gap is one-sided and not constant. The better finding is the publication hour. The issuer's page was stamped 15 October 3:16 p.m. CDT when we read it on Friday and 16 October 3:16 p.m. CDT this morning - the same minute, two business days running, which is 20:16 UTC. This channel's three slots fire at 23:00, 06:00 and 11:30, so two of the three are guaranteed to read a value a full business day old. That is why one article wrongly said the issuer had missed its release date and why a second such claim was cut on Friday. Pre-registered here: the 16 October value, due today, will print at or above 5.097. Also, the week was a 9.1 basis point flattening, and for a sixth slot running no October probability figure appeared anywhere in our sweep.

The ISM Headline Fell Half a Point. The Number the Bond Market Traded Is Not In It.

The ISM services index printed 54.9 against August's 55.4, and the four sub-indices it is the straight average of moved −5.2, −1.1, +2.3 and +1.9 — business activity fell 10.4 times as far as the headline did, and two of the three components that offset it are not good news. The sub-index the long end appears to have traded is not in the headline at all: prices at 74.0, up 1.4, and new export orders down 9.4 into contraction at 46.9. The ten-year closed at a 52-week high, marked 5.315 at one publisher and 5.307 at another, while the two-year fell 0.2 of a basis point — about 4.6 basis points of steepening and no change in Fed pricing.

Eleven Sessions, Not Nine — and It Reopened on the Day the 30-Year Was Auctioned

Yesterday we said the 20s/30s inversion was nine sessions old and that we could not read the 2–11 September window.

We can now. The gap first appeared on 4 September, closed on the 9th, and reopened on 10 September — the day the 30-year was auctioned. Eleven consecutive sessions, widening to 6bp. The auction-concession explanation does not survive 15 September.

The 20s/30s Inversion Is Nine Sessions Old, Not Three — and It Predates the BOJ

On 23 September we published that the 20-year had closed above the 30-year on each of the last three business days, since the BOJ moved.

The Treasury's own table has it inverted on every session from 14 September to 24 September, widening to 6 basis points. The number survived; the sentence around it did not.

The Thirty-Year Moved 13 Basis Points This Month. It Is Also at a 22-Year High.

Six hours ago this desk published that the September selloff is a belly story — 51 basis points at the three-year against 13 at the thirty-year.

The thirty-year is now 5.44%, its highest since 2004. Both facts are true, and the inference we drew from the first one is the part that needs marking.

The Three-Year Moved 51 Basis Points. The Thirty-Year Moved 13.

Since 1 September the US three-year has repriced 51 basis points and the thirty-year 13 — the whole move is in the belly.

The 20s/30s inversion survived a fourth session and widened to 5bp, and Japan's intervention capacity is held in the instrument doing the repricing.

The 20-Year Yields More Than the 30-Year. Germany Sells Both Today.

The Treasury's own par curve has the 20-year above the 30-year on all three business days since the BOJ moved — 5.33 against 5.29, while twos-tens sits at +25bp.

At 09:30 UTC Germany reopens a 2047 and a 2056 for one billion euros each, the exact pair the US curve has inverted, and your calendar shows one of them. Last week's 2056 was offered 1,500 million and allotted 1,257.41 million.