EM LATAM CREDIT: Argentina (ARGENT; Caa3pos/CCC/CCC): IMF Deal Structure

• The NY Fed consumer survey saw 1Y and 3Y inflation expectations unchanged in January at 3.0% although the 5Y bounced three tenths after a two tenth decline to 3.0% for its highest since May.
• 1Y inflation expectations have been particularly steady in recent months, averaging 3.0% since June in a 2.9-3.0% range.
• That’s in contrast to the U.Mich equivalent which has ramped up to 4.3% as of last week’s preliminary February release after 3.3% in July, but does have a pronounced issue with partisanship. It was 2.8% prior to Trump’s inauguration and 2.7% prior to the November presidential election.
• That said, the NY Fed’s 5Y metric is likely to be watched from here, with the 3.0% at joint highs for the limited history back to Jun 2022. 

Huge 2Y/10Y Ultra bond steepener posted at 1047:02ET; DV01 $900,000:

• +22,776 TUH5 102-24.38, post time offer vs.
• -22,776 UXYH5 112-07.5,sell through 112-09 post time bid 

Euribor futures continued to extend higher alongside broader core FI, now +1.0 to + 5.5 ticks through the blues. Headline flow has been relatively limited throughout the day, leaving volumes comfortably below recent averages.

• The back of the whites/front of the reds lead the rally in Euribor. Upside in ERZ5 continues to be capped by the Feb 3 high at 98.125, while ERZ6 has tested the Feb 5 high at 98.010.
• The ERH5/M5 spread has flattened 3.0 ticks today to -30.0 ticks, a fresh multi-week low.
• ECB-dated OIS up to 3bps more dovish than last Friday’s close, with 90bps of easing now priced through year-end.
• ECB President Lagarde will participate in a plenary debate on the ECB’s 2023 Annual Report at the EU Parliament at 1615GMT/1715CET (text will be released). However, any near-term policy signals are unlikely to deviate from the January decision guidance.