Via Merrill Lynch Research:
A daily bond market chronicle
Via Merrill Lynch Research:
Via RBS Securities:
Our Treasury flows were 2-way in 10’s by real money while there was other real money selling of 2’s, 7’s, and 30’s. Fast money was also buying 10’s. In swaps, we had fast money receiving 2y1y while we heard of MBS-linked paying 7yr away. In TIPS, we had fast money buying the front end and real money buying 5yr and 10yr breakevens. Treasury inter-dealer broker volume was 118% of the 10-day average.
Mortgages: Mortgage activity picked up today but a large part of it was in butterflies rather than outright trades. The 30yr 3.5′s outperformed the rest of the stack today with that basis trading as wide as 1.5 ticks wider while closing a + wider late day. We had hedge funds active in 2 way trades, reacting to the shifting contour of the MBS coupon stack. We also had light money manager selling, Fed buying and origination was a bit heavier again today at ~$825mln.
China GDP the most important data point but alot of other data to reflect upon.
Via Pierpont Securities:
AUSTRALIA: Leading Economic Indicator reading for March. Slight downward tilt to the index over the last 6 months, but little sign of a major deterioration.
CHINA: Tremendous data flow…and quite important as March was first full month after the New Year holiday. 1Q2014 data will be released for GDP and the Business Climate index, with the latter having fallen steadily since its recovery high in 4Q2010. BBerg consensus for real GDP growth at 7.3% YOY in 1Q, with the risks being to the downside for growth. Also get March data for Retail Sales and Industrial Production, with BBerg consensus expectations of 11.9% YOY for sales and 9.0% YOY for production, both quite sluggish by Chinese standards; risks appear tilted to the downside.
JAPAN: Final Industrial Production data for February, with the preliminary reading a -2.3% MOM and up 6.9% YOY.
EURO ZONE: Final March CPI data…expected to be confirmed at 0.5% YOY, with core at 0.8% YOY.
ITALY: Trade/Current Account data for February, with Trade in surplus (weak imports) while CA remains in deficit (large external debt payments).
UK: Important monthly data on the Employment Situation. Key data likely to be the change in the Claimant count for March (BBerg consensus -30K) and the February data for the 3-month change in Employment (BBerg consensus +90K) and Unemployment Rate (down to 7.1%). But with inflation quit restrained (out today), not much concern that strong data will push the BoE towards tightening any time soon.
CANADA: BOC RATE DECISION AT 10am, WITH AN OVERWHELMING CONSENSUS FOR NO CHANGE TO THE O/N RATE OF 1.0%.
One dealer reporting very heavy flows in cash in belly of the curve. He has observed sellers of off the run 10s in favor of 2041 and 2042 paper. ( I believe that the actuaries have me dead out that far.) The same dealer notes that TY has outperformed 5s and 10s by 3 basis points since release of labor report. That does not sound like much but he also notes that spread has traded in a six basis point range for nine months.
Greed and fear dominate markets and it appears that greed is morphing into fear today. The Long Bond has enjoyed a significant rally and trades at its lowest level since July 2013 when we were in the midst of the oh my God they are going to taper soon swoon. A confluence of factors has forced buyers into the market today. The situation in the Ukraine is heating up and that has sparked a flight to quality. The ruble last time I looked had traded above 36 and I have not recorded it there since March 24. The Bund is screaming lower and trades at 1.475 percent for 10 years. Other emerging market currencies while not in free fall are weakening today,too. The Nasdaq fuel on the fire as it has made a new low for this move and a new low for the year today. I worry that at some point there will be a collective there but for the grace of God go I epiphany and happy holders in other sectors may decide that the equity bull is long in the tooth and some reduction in equity exposure is necessary and appropriate. If you are an equity holder the reign of Barack Obama has been a virtual financial Nirvana or maybe a Periclean Golden Age. On the glorious day in November 2012 when the vox populi clamored for four more years the S and P was trading around 1430. The index dropped to about 1350 over the next week or so and then has hardly ever looked back and indeed every dip was a buying opportunity. Sister Mary Consolata taught me quite well and a very quick reckoning demonstrates that is a gain of about 35 percent in that time period. At some time the Nasdaq will cease to decline by itself and other indices will join the fray as other equity holders get risk religion. Finally, the JPMorgan weekly survey was very short this morning. The active portion of that survey had no longs this morning and the largest net short position since May 2013. That is a flammable mix which can only feed the fire in the market place.
I have heard of chunky buying at the 5 year point by hedge funds and macro based traders. I have heard of long term portfolio types selling off the run 3 year through 5 yer paper and fast money sellers of bonds.
In swaps the 2 year spread is 1/4 basis point wider and 5 7s and 5s 10s and 30s are unchanged. I have heard of fast money paying in the 2 year sector.
Wal-Mart 3 paert
guidance 3 yr +20 +/- 3 bps
10 yr +75 +/- 2 bps
30 yr +92 +/- 2 bps
Wal-Mart Stores 2 bln Aa2/AA 3,10 & 30 yr
ipt 3 yr +25-30
10 yr +85 area
30 yr +Mid/High-90s
Plains All American Pipeline 500mm Baa2/BBB 30 yr
BioMed Realty 350mm Baa3/BBB 5 yr
ipt +137.5 area
And “in the works”
Bank Nederlandse Bank Nederlandse Gemeenten B’Mark Aaa/AA+ 7 yr
ipt ms+low 40′s
Office Cherifien de Phosphate/ OCP SA TBDna/BBB- 10 yr 144A Reg S
ipt 6% area
I added the link because I wanted to know what the hell that is! It is a Moroccan phosphate company. I guess there is a lot of money sloshing around if they can sell that to someone.
Via the Good Folks at Bloomberg:
By Robert Elson
April 15 (Bloomberg) — The JPMorgan Treasury Client Survey
for the week ended April 14 vs week ended April 7.
* Longs 11 vs 25
* Neutrals 57 vs 55
* Shorts 32 vs 20
* Net longs -21 vs 5
* “The all clients survey shows the most net shorts since
June 3, 2013’’
* Active client survey:
* Longs 0 vs 24
* Neutrals 54 vs 38
* Shorts 46 vs 31
* “The active clients survey shows no outright longs, and
the most net shorts since May 28, 2013’’
Via David Ader at CRT:
OVERNIGHT FLOWS: Treasuries were modestly lower overnight with the declining UK inflation and German ZEW as the most relevant releases – although offering little trading direction. We also saw a pullback in Chinese M2 that brought into question the trajectory of GDP. Overnight volumes were light with caash trading at 84% of the 10-day moving-average, while TY came in at 80% of norms. 5s were by far the most active issue, taking a 42% marketshare, while 10s managed to get just 23%. 2s and 7s were tied – each taking 11% marketshares, while 3s got just 9%. We’ve heard of Asian real money selling in the 30-year sector and Japanese buying in 7s.
US EARNINGS: Some of biggest names to report Q1 earnings near-term include:
Date Company Estimate/share
Apr 15 Coca Cola Co $0.44
Apr 15 Johnson & Johnson $1.48
Apr 15 Intel Corp $0.37
Apr 15 Yahoo! Inc $0.37
Apr 15 Charles Schwab Corp $0.22