Archive for March, 2014
Thursday, March 20th, 2014
Repo or repurchase agreements is the least appreciated function at a dealer but it is probably the most important as it oversees the delivery of securities and the financing of long positions and short positions. When the money markets seize up as they did in September and October 2008 we ...
Posted in Uncategorized | Comments Off on Repo Markets
Thursday, March 20th, 2014
Via Ian Lyngen of CRT Capital
*** The 10-year TIPS auction was soft with non-dealer bidding at 54.5% vs. 62.4% norm and a 1.1 bp tail. ***
* 10-year TIPS auction stops at 0.659% vs. a 0.648% 1-pm bid WI.
* Dealers were awarded 45.4% vs. 37.6% average of last six auctions.
* Indirects ...
Posted in Uncategorized | Comments Off on Ten Year Tips Tail
Thursday, March 20th, 2014
Dealers report some active trading clients taking profits on 5s 10s flatteners. In addition, some fast money guys are anticipating some retracement of the outsized move in 5s and are buying 5s 30s. Real money is nibbling in the 3 year sector and prop traders are sellers of breakevens which ...
Posted in Uncategorized | Comments Off on Treasury Market Update
Thursday, March 20th, 2014
Via Richard Gilhooly of TDSecurities
The January 0.625% 2024 10yr TIPs benchmark will be re-opened in $13bn, taking the total size to $28bn, to be re-opened one more time in May for an additional $13bn. The auction stopped at a real yield of 66.1bp in January and is around 63bp currently, ...
Posted in Uncategorized | Comments Off on TIPS Auction Commentary
Thursday, March 20th, 2014
Mortgages are 3 ticks wider to Treasuries in light activity.
Posted in Uncategorized | 1 Comment »
Thursday, March 20th, 2014
Swap spreads are opening wider this morning with most tenors 1/4 to 1/2 wider.
One swaps trader made an interesting point in a conversation which I just concluded. He noted that swaps spreads finished the day yesterday virtually unchanged and vol while higher only jumped modestly. He thinks this means that ...
Posted in Uncategorized | Comments Off on Mid Morning Musings
Thursday, March 20th, 2014
Richard Gilhooly is a friend and former colleague at TDSecurities whose work I occasionally feature here. Attached is the piece he sent to TD clients this morning and I think you will be hard pressed to find a better analysis anywhere of the market moves yesterday.
Via Richard Gilhooly at TDSecurities:
The ...
Posted in Uncategorized | 3 Comments »
Thursday, March 20th, 2014
The Long Bond has shed some of its strength in early morning trading. For example I clocked 10s 30s at 86.8 and 600AM and that spread just prior to claims was 88.4. Similarly, 5s 30s moved from 193.7 to 194.4.
I failed to note earlier that Jack Lew and his acolytes ...
Posted in Uncategorized | Comments Off on Morning Miscellany
Thursday, March 20th, 2014
Bond market edging higher in price and lower in yield (very modestly) and this might be the rationale for that mini move.
BN 03/20 11:46 *UKRAINE AMBASSADOR SAYS STILL COMMITTED TO PEACEFUL SOLUTION
BN 03/20 11:45 *UKRAINE SAYS PREPARED TO PROTECT HOMELAND BY ALL MEANS
BN 03/20 11:44 *UKRAINE SAYS SANCTIONS COULD BE ...
Posted in Uncategorized | Comments Off on Ukraine Headlines
Thursday, March 20th, 2014
Attached is a Hilsenrath piece from the WSJ site this morning. It is actually for him an excellent bit of analysis. He prints the entire quote from Ms Yellen on considerable time and her six month utterance.Hilsenrath notes properly that it was a very small piece of a longer piece ...
Posted in Uncategorized | Comments Off on Hilsenrath Article