Archive for the ‘Uncategorized’ Category

Breakevens

Wednesday, October 29th, 2014

The hawkish FOMC took a bite out of TIPS breakevens. Prior to the announcement I had marked 10s at 195 and they are currently 191. The 30s were trading at 211 and trade currently at 209.5.

Market Miscellany

Wednesday, October 29th, 2014

I am not hearing of big flows from the folks with whom I speak. There is confusion coursing through the market at the moment. This was hawkish stuff and does not coincide with the minutes of last meeting when expressed some concern about FX and global growth. The 5 year has ...

Curvology

Wednesday, October 29th, 2014

If you are keeping score at home you know that 5s 30s has moved 5 bps to 149 from 154. 10s 30s has moved 3 ish from 76.8 to 73.2. And the dollar is screaming richer. No flows yet.

Five Year Auction Result is Less than Festive

Wednesday, October 29th, 2014

Via David Ader at CRT Capital; ** 5-yr auction stops at 1.567% vs.1.549% 1 PM bid. 1.8 bp tail -- indirects take 47.8% vs. 50.9% four-auction average -- directs take 10.5% vs. 13.7% four-auction average -- dealers take 41.7% vs. 35.4% four-auction average -- cover comes to 2.36 vs. 2.73 average -- hit ratio shows dealers ...

Market Musings

Wednesday, October 29th, 2014

I was just looking back on my copious notes and observing relationships prior to the last two FOMC meetings. On July 30th just prior to the announcement the 5s 30s spread was 152.5 On September 17 just prior to the announcement that concluded that gathering the 5s 30s spread was ...

Five Year Note Auction

Wednesday, October 29th, 2014

Via David Ader at CRT Capital: 5-year Auction Outlook * Technicals are bearish and 5s are in the process of following the lead of 7s, 10s and 30s and filling the gap left over from Oct 10 at 1.532%. We target the big retracement of the range over the last month at ...

“Considerable Period” More IMportant Than QE?

Wednesday, October 29th, 2014

This is an interesting (to me) discussion at the WSJ in which some academics and Fed honchos posit that the "considerable period " verbiage is more important than QE. I can see the point as ultimately we can reduce everything to funding (repo rate) and if the rate will be ...

New Issue Offerings

Wednesday, October 29th, 2014

Via Bloomberg: IG CREDIT: List of New Issues Expected to Price in U.S. Today 2014-10-29 13:55:50.571 GMT By James Holloway Oct. 29 (Bloomberg) -- The following is a list of new issues expected to price today: * IADB $500m Aaa/AAA * Tap 1.25% 2018 * Spread set MS -7 * Books: C,JPM * Books: C,JPM</li></ul> * Lloyds Banking Group plc $bench ...

MBS

Wednesday, October 29th, 2014

Mortgages are opening 1 tick to 2 ticks weaker to Treasuries this morning. One dealer noted that there is little buy interest from clients in early trading. That lack of buying has collided with the residue of (light) origination selling late yesterday which dealers were unable to unload. Ergo, slightly ...

What to Watch for Today

Wednesday, October 29th, 2014

Via Bloomberg: WHAT TO WATCH: * (All times New York) Economic Data * 7:00am: MBA Mortgage Applications, Oct. 24 (prior 11.6%) Central Banks * 2:00pm: Fed seen maintaining overnight bank lending rate of 0%-0.25% * Fed seen ending QE program * Fed seen ending QE program</li></ul> * 4:00pm: Reserve Bank of New Zealand seen holding official cash rate at 3.5% * 4:15pm: ...