Archive for the ‘Uncategorized’ Category

Swap Spreads

Thursday, July 31st, 2014

Swap spreads are wide this morning. Two year spreads are out 3/4 basis point and 5s are 1.5 basis points wider. Ten year spreads are 1 basis points wider and 30 year spreads are 3/8 basis point wider. In Eurodollar futures the reds are down 2 and greens are down 4. The ...

Treasury Market Update

Thursday, July 31st, 2014

The Employment Cost Index posted its largest increase since the fateful year 2008 and that has heightened apprehension that the FOMC will remove the spiked punch bowl sooner than previously believed. That fear has prompted another sell off in the market and a pronounced curve steepening. The 5s 10s spread ...

What to Watch for Today

Thursday, July 31st, 2014

Via the Good Folks at Bloomberg: WHAT TO WATCH: * (All times New York) Economic Data * 7:30am: Challenger Job Cuts y/y, July (prior -20.2%) * 7:30am: RBC Consumer Outlook Index, Aug. (prior 50.5) * 8:30am: Employment Cost Index, 2Q, est. 0.5% (prior 0.3%) * 8:30am: Initial Jobless Claims, July 26, est. 300k (284k) * Continuing Claims, July ...

Forward Pricing

Thursday, July 31st, 2014

This is an excellent research note from Kit Juckes of SocGen on how the market is pricing in Fed tightening. Via Kit Juckes of SocGen: Hawkish/dovish FOMC? I'd rather focus on the market move. The US 1-year interest rate, one year forwards, has now risen to almost 1.2% from only 0.45% last autumn, ...

FX

Thursday, July 31st, 2014

Via Brown Brothers Harriman: There were three important signals from the US yesterday: GDP, and the FOMC’s assessment about inflation and the labor market - Euro area news has been mostly constructive - Sterling continues to under-perform and this is reflected in the euro's gains on the cross - Korea’s ruling party got ...

July 31 Opening

Thursday, July 31st, 2014

Prices of Treasury coupon securities are registering very modest gains when measured against levels which prevailed last evening around 945PM. I am perplexed by the price action and after scouring the usual sources I am still confused. The US equity futures are off 13 S and P points and the ...

Affordbale Care Act Back in the News

Wednesday, July 30th, 2014

This is an issue on which I am very partisan and this story from the Obama friendly NYTimes makes a prima facie case on why the government should be as uninvolved in our lives as is humanly possible. It seems that the rollout debacle and incompetence  in establishing health care ...

Regarding Reverse Repo

Wednesday, July 30th, 2014

Analysts have speculated on what will happen when the FOMC someday in the not too distant future hikes rates and uses reverse repos as its main policy tool. (As an aside, when I worked at the Open Market Desk circa 1980 this tool was a matched sale and I am ...

Corporate Bonds

Wednesday, July 30th, 2014

As one soon to be retired veteran described it to me corporate bonds are " violently unchanged' in quiet trading. The market opened better bid this morning on the back of GDP and the ebullient equity market. Ebullience proved to be ephemeral and as equities slid spreads moved back to ...

Curvology

Wednesday, July 30th, 2014

The curve is shifting all around today so there is some welcome volatility in the market. The 2s 5s 10s butterfly has broken to a new cycle wide and trades at 45. That fly broke down in the sell off this morning and is making a new low as the market ...