Archive for the ‘Uncategorized’ Category

Five Year Note Result

Wednesday, July 29th, 2015

Via Ian Lyngen at CRT Capital: *** A strong takedown with non-dealers awarded 72.8% vs. 66% norms and a 1.0 bp stop-through. *** * 5-year auction stops at 1.625% vs. 1.635% 1pm bid WI. * Dealers were awarded 27.2% vs. 36% average of last four 5-year auctions. * Indirects get 67.5% vs. 58% norm. * ...

Liquidity Angst in Corporate Bond Market

Wednesday, July 29th, 2015

Via Bloomberg: Liquidity-Obsessed Bond Buyers Taking Action to Protect Funds by Lisa Abramowicz July 29, 2015 — 11:13 AM EDT Bond-fund managers may debate the exact reason for the deterioration in market liquidity, but one thing is clear: they’re highly concerned about it. And many aren’t waiting to find out the potential implications of suddenly ...

Fund managers Concerned About Treasury Market Liquidity

Wednesday, July 29th, 2015

Via the FT: US Treasuries market faces liquidity concerns Joe Rennison in New York Investors are asking themselves a question that until recently had never been up for debate; how “liquid” are US Treasuries? With $12.6tn of debt outstanding and more than $500bn changing hands every day, US Treasuries are considered the bedrock of ...

Today’s New issue Calendar

Wednesday, July 29th, 2015

Via Bloomberg: IG CREDIT: List of New Issues Expected to Price in U.S. Today 2015-07-29 14:01:00.0 GMT By Allan Lopez (Bloomberg) -- 3 new issues expected to price today: * Canadian Pacific Railway $800m (will not grow) Baa1/BBB+ * Long 10Y, 30Y * IPT 10Y +162.5, 30Y +195 (both area) * Books: BofAML, C, RBC, WFS * DBS Bank ...

Pre FOMC Guest Post

Wednesday, July 29th, 2015

Via my friend Steve Liddy. This is an excerpt from his full note as the graphs he appends to it do not reproduce well on my low rent blog. My apologies to Steve for that. As I noted yesterday, 5y5y fwd inflation expectations have dropped. Now, should spot commodity prices have ...

Secondary Market Corporate Bond Trading Yesterday

Wednesday, July 29th, 2015

Via Bloomberg: IG CREDIT: CVS Issues Led Trading on Client Flows; 2 to Price 2015-07-29 10:06:06.554 GMT By Robert Elson (Bloomberg) -- Secondary IG trading saw a final Trace count of $16.3b vs $11.7b Monday, $15.3b the previous Tuesday. * Most active issues over 3 years: * CVS 5.125% 2045 was 1st with 2-way client flows accounting for ...

Today’s New Issue Calendar

Tuesday, July 28th, 2015

Via Bloomberg: IG CREDIT: List of New Issues Expected to Price in U.S. Today 2015-07-28 14:01:00.0 GMT By Allan Lopez (Bloomberg) -- 9 new issues expected to price today: * Sherwin Williams $750m A2/A * 10Y, 30Y * IPT 10Y +135, 30Y +170 (both area) * Books: BofAML, C, JPM * American Express Credit Corp. $benchmark A2/A- * 3Y fxd ...

JPM Duration Survey

Tuesday, July 28th, 2015

Via Bloomberg: RATES: Shorts Drop Sharply in Latest JPM Survey 2015-07-28 11:21:20.539 GMT By Robert Elson (Bloomberg) -- The JPMorgan Treasury Client Survey for the week ended July 27 vs week ended July 20. * Longs 17 vs 15 * Neutrals 61 vs 52 * Shorts 22 vs 33 * Net longs -5 vs -18 * "The all clients survey ...

Two Year Note Auction

Tuesday, July 28th, 2015

Via Ian Lyngen at CRT Capital: The 2-year sector is trading lower this morning, pricing in a modest outright concession although still outperforming the rest of the curve. We're constructive on this afternoon's auction as it benefits from a trend of solid investment fund demand and this sector has a strong ...

What to Watch Today

Tuesday, July 28th, 2015

Via Bloomberg: WHAT TO WATCH: * (All times New York) * Economic Data * 9:00am: S&P/CaseShiller 20 City m/m SA, May, est. 0.3% (prior 0.3%) * S&P/CS 20 City y/y, May, est. 5.6% (prior 4.91%) * S&P/CS 20 City NSA, May, est. 180.34 (prior 177.01) * S&P/CS U.S. HPI m/m, May, est. 0.10% (prior -0.02%) * S&P/CS U.S. HPI ...