Archive for March, 2014
Monday, March 31st, 2014
Swaps spreads moved wider today. Three year spreads leaked wider by 1.2 basis points and 5 year spreads widened 0.6 basis points. Ten year and thirty year spreads widened .25 basis points. Real money and hedge funds received intermediate spreas as spreads widened over the course of the day. There ...
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Monday, March 31st, 2014
Via RBS Securities:
Our Treasury flows were central bank buying of 7’s, 10’s, and 30’s, real money selling of 30’s, and other real money buying of 7’s. In swaps, we had fast money receiving 2’s-5’s-10’s, money manager receiving 2yr vs. paying 2’s-10’s, and fast money receiving 5’s-10’s. In TIPS, we had ...
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Monday, March 31st, 2014
Courtesy of CRT Capital:
Treasuries started with a strong volume profile overnight and managed to extend that in the NY session – peaking at 114% of the 10-day moving-average. Activity slowed in the afternoon as prices stabilized, but nonetheless at 97% of the 2-week norms volumes were strong for a Monday. ...
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Monday, March 31st, 2014
In my previous post I noted that I thought the curve would steepen more from current levels. I think that those who were happy holders of flatteners will either reduce or exit those positions. In my opinion that is the resting trade in the street and in the near term ...
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Monday, March 31st, 2014
Swap spreads are 1/2 basis point wider in 2s and and unchanged across the rest of the curve.
I think the Yellen speech is a case of requiescat in pacem for the ritualistic watching of the employment data at the beginning of the month. She provides a litany of other signposts ...
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Monday, March 31st, 2014
The curve has steepened rather dramatically following the Yellen speech. At 948Am I had clocked 5s 30s at 180.5 and as I compose this electronic missive it rests at 184.3. The 5s 10s spread has moved from 97.7 to 100 and 10s 30s has moved from 82.5 to 84.3.
The flow ...
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Monday, March 31st, 2014
Via Millan Mulraine of TDSecurities:
The Chicago PMI declined unexpectedly in March on weaker performance across a broad swath of indicators. During the month, the headline index dipped to 55.7 from 59.8, marking the lowest print on this indicator since August. On an ISM basis, this is equivalent to a decline ...
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Monday, March 31st, 2014
This Hilsenrath post is an excellent summary of the dovish Yellen speech:
Via the WSJ:
By Jon Hilsenrath
Federal Reserve Chairwoman Janet Yellen on Monday offered a full-throated defense of the central bank's easy money policies in a speech in Chicago. Most importantly, she argued that there is still substantial slack in the ...
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Monday, March 31st, 2014
Corporate Bond spreads are tighter again today and I gathered this prior to the very dovish Yellen speech hitting the tapes. The IG 21 is better by a basis point . TMT paper and industrials are also a basis point better. My main source on this topic says that most ...
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Monday, March 31st, 2014
Via CRT Capital
OVERNIGHT FLOWS: Treasuries were under pressure overnight on a mix of economic data. Overnight volumes were strong for a Monday with cash trading at 94% of the 10-day moving-average, while TY came in at 119% of norms. 5s were the most active issue, taking a 37% marketshare, while ...
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