Treasury Stuff

June 18th, 2009 11:11 am | by John Jansen |

The Treasury market sold off following the strong Philadelphia Fed report. The market has stabilized and is now just about back to levels which prevailed prior to release of that report. One salesmen reported that the cash 10 year bounced from a level which represented a 50 per cent retracement of the recent rally.

The Treasury announced the details of the auctions for next week and it is another Guinness Book of Record amount. The treasury will sell $40billion 2year notes,a cool crisp $ 37 billion 5 year notes and $ 27 billion 7 year notes. Just an odd lot at $ 104 billion.

The rolls opened at 6 1/4 basis points for 2 yearnotes and around 5 basis points on 5s and 4 basis points on 7s.

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  1. 14 Responses to “Treasury Stuff”

  2. By Brian on Jun 18, 2009 | Reply

    Since mid-day yesterday, 10’s have given back about 20bps of the 40+ rally from the high of 4%. Whole curve is getting pummeled still today, should be an interesting auction next week.

  3. By Bman on Jun 18, 2009 | Reply

    Quite the bloodbath in IG today.

  4. By Tyler K on Jun 18, 2009 | Reply

    it is indeed quite the negative butterfly shift today.

  5. By Brian on Jun 18, 2009 | Reply

    5 & 10yr breakevens are off 30 and 20 bps respectively from last Thursday as well…however, while forward month Eurodollar contracts have retreated significantly from their high of last week (or low depending on how you look at it), they have crept up since monday, retracing some of the gains.

  6. By troy on Jun 18, 2009 | Reply

    can you post something about the Ig blodbath you mention? thanks

  7. By Brian on Jun 18, 2009 | Reply

    Not sure what Bman was referencing exactly, but the corporate market is a bit depressed today…those financial names that John quotes, as well as others, have seen a higher level of selling, which has lowered offers. Industrial names are also lagging. Also, LQD (the iBoxx IG ETF) is down like 1.25% today. That represents the longer end of the market, but still is a decent proxy.

  8. By Tyler K on Jun 18, 2009 | Reply

    troy, if your question relates to what IG is, see:

    http://www.markit.com/en/products/data/indices/credit-and-loan-indices/cdx/cdx.page?#

    and a “primer” can be found here:
    http://www.scribd.com/doc/13478990/Markit-CDS-Primer

    Apologies in advance if you already knew that, and if your question was more specific.

  9. By Bman on Jun 18, 2009 | Reply

    sorry Troy – “bloodbath” was probably a bit extreme, but that area is taking a fairly big hit today.

  10. By Juan Motime on Jun 18, 2009 | Reply

    Brian–

    Do you trade Eurodollars are just follow them? I trade them pretty much every day.

  11. By Macro_Man on Jun 18, 2009 | Reply

    yup, bounced off 50% retracement. Looks like a flag pattern…so the rally in long bond should continue after this classic flag pattern is completed. Wouldnt be surprised if long bonds touches 4.25% before this rally is over

  12. By Brian on Jun 18, 2009 | Reply

    Juan,

    I dont trade them daily, but have traded them when needed to hedge short term aka I follow them fairly regularly. Why do you ask?

  13. By Tyler K on Jun 18, 2009 | Reply

    Something that I had missed yesterday was that the primary dealer roll call increased by one:

    http://www.bloomberg.com/apps/news?pid=20601009&sid=aBsTkbEyDPXU

  14. By marcvdb on Jun 18, 2009 | Reply

    Is there a site where you can see a graph with all expiring debt? Just like we have the mortgage reset graphs? Just to give me some sense how the distribution of debt is across the maturities…

  15. By Juan Motime on Jun 18, 2009 | Reply

    Brian–

    Just curious.

    I visit a few other forums in addition to this one. In the year or two I’ve been doing so, I’ve only encountered one other person who trades Eurodollars. Most trades ETFs or CBOT Treasury futures.

    I work from home as a free-lance medical editor and trade a small account. I like the Eurodollars because their size and liquidity keeps the risks within the parameters I’m comfortable with.

    FYI, if you know anyone who likes to trade Eurodollar options with condors, butterflies, and other exotic spreads, there’s a free website that posts all day long what the big players are doing.

    http://www.eurodollaroptions.com

    Problem is, you don’t know whether each entity is placing the trades to hedge or speculate.

    I never trade the fancy option combos. I just either buy or sell the puts and calls, or do spreads that are simple bull or bear jobs.

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