MBS
Thursday, December 19th, 2013MBS 30 year opening 5 ticks to 6 ticks wider. Fifteen year paper is 3 ticks wider.That is versus 300PM levels and much of the widening took place late yesterday when there was origination and fast money selling.
Archive for December, 2013
MBS 30 year opening 5 ticks to 6 ticks wider. Fifteen year paper is 3 ticks wider.That is versus 300PM levels and much of the widening took place late yesterday when there was origination and fast money selling.
Miscellany
Thursday, December 19th, 2013As I noted earlier the curve is gyrating violently and there are some local reasons. The dealer community is lugging about $32 billion 5 year notes in inventory and faces $29 billion 7 year notes today. There is also the $16 billion 5 year TIPS drop which is more duration ...
TIPS Reopening
Thursday, December 19th, 2013The US Treasury will not only sell $29 billion 7 year notes today but as a full service shop it will allow you to protect that purchase from the ravages of inflation with a $16 billion reopening of the 5 year TIPS bond. Here is some analysis from William O ...
Yield Curve Pirouettes Like Ballerina
Thursday, December 19th, 2013For those keeping score at home and I know you are the 10s 30s spread has just powered through 100 and rests at 99 basis points. That is the narrowest point for that spread since mid September. Similarly the 5s 30s spread is at 227.7 basis points and that is ...
Options Expirys Today
Thursday, December 19th, 2013This via a fully paid up subscriber: There are some big options expiries across the board today some highlights below via DTCC GBPUSD ~£500 @ 1.64 EURGBP €300 8350-8400 EURUSD ~1bn from 1.3680-1.3780 with big ones 1.3670 and 1.3710 USDJPY $2.7bn @ 104 and 2.5bn 103.5-103.7 big one at 103.62 USDCAD +500 @ 1.06 w/~200 1.07 AUDUSD ...
December 19 2013 Opening
Thursday, December 19th, 2013Prices of Treasury coupon securities are posting small mixed changes in post taper overnight trading. The short end (out to 5 years) is posting small losses while the 10 year and the Long Bond are registering small declines. The yield curve has flattened overnight versus the belly. Remember that there ...
Credit Spreads
Wednesday, December 18th, 2013Merrill Lynch research on credit spreads. If rates do rise spreads will widen as Treasuries aint what the folks own. They own every type of spread product known to man (humanity as a species lest I be judged politically incorrect). Via Merrill Lynch: Hello economy, goodbye QE, redux. "Hello Economy, goodbye QE ...
Addendum
Wednesday, December 18th, 2013I would also reiterate a point which I made in my early morning write up this morning regarding the Long Bond. That instrument sits on the cusp of a breakout to higher yields, As I compose this electronic missive it yields 3.91 percent for anyone in Asia who wishes to ...
Brave New Monetary World
Wednesday, December 18th, 2013Tomorrow the US Treasury will baptize the dealer community will $29 billion 7 year notes. The issue is very cheap to its yield curve cousins. If one observes the somewhat pedestrian 5s 7s 10s butterfly you will see that it trades at 10 basis points (I am using new 5 ...
Financial Nirvana
Wednesday, December 18th, 2013Credit Spreads are on fire or as our Spanish friends would say "en fuego". Bank and finance paper is better by 3 basis points to 5 basis points but in the 7 year and 8 year part of the curve paper is as much as 8 basis points tighter. TMT ...