Archive for March, 2014
Thursday, March 20th, 2014
Via Bloomberg:
China’s H-Shares Enter Bear Market While Yuan Weakens on Economy
2014-03-20 09:46:34.658 GMT
By Kana Nishizawa and Weiyi Lim
March 20 (Bloomberg) -- Chinese stocks fell, sending the
Hang Seng China Enterprises Index into a bear market, and the
yuan sank to a one-year low as concern deepened that the world’s
second-largest economy is slowing.
The ...
Posted in Uncategorized | Comments Off on Bear Market in China
Thursday, March 20th, 2014
In my morning note I mentioned that it was a very active overnight session. David Ader of CRT confirms that with numbers and says that trading volume last evening was 255 percent of the 10 day moving average.
Via David Ader of CRT Capital:
OVERNIGHT FLOWS: Treasuries were little changed overnight and ...
Posted in Uncategorized | Comments Off on Overnight Flows
Thursday, March 20th, 2014
I regularly post excerpts from the morning client note of Mark Chandler of Brown Brothers Harriman. The excerpt I will post this morning contains an interesting conspiracy theory. if Obama and Bernanke wanted to make certain that Yellen was a weak leader they would make sure she was not the ...
Posted in Uncategorized | Comments Off on Mark Chandler on Yellen and the FOMC
Thursday, March 20th, 2014
Prices of Treasury coupon securities are registering small mixed changes relative to levels which prevailed in New York at 400PM yesterday.The yield on the 2 year note is unchanged and the yield on the 3 year note is a basis point lower at 88.3 basis points. The yield on the ...
Posted in Uncategorized | Comments Off on March 20 2014 Opening
Wednesday, March 19th, 2014
Swap spreads finished the volatile session mixed with 2s through 7s 1/4 to 3/4 basis point tighter. Ten year spreads were unchanged and 30s widened 1/2 basis point. Initially there was huge gamma based receiving which resulted in 2 basis point to 3 basis point receiving in 2s and 3s. ...
Posted in Uncategorized | Comments Off on Swap Spreads
Wednesday, March 19th, 2014
I had a difficult time getting MBS comment today. Here is an excerpt from the end of day closing note from RBS Securities.
Via RBS Securities:
Mortgages: Mortgages opened slightly tighter vs. swaps and Treasuries today. Early buying from the Fed, money managers, and hedge funds had 3.5’s grinding tighter throughout the ...
Posted in Uncategorized | Comments Off on MBS Commentary
Wednesday, March 19th, 2014
I am hearing substantial real money buying in 2 year note and 2 year spread product at current levels (around .435 basis points).
Posted in Uncategorized | Comments Off on Flows
Wednesday, March 19th, 2014
The move in the curve today is very dramatic post FOMC. The 2s 5s 10s spread is now at +26 basis points. Prior to the announcement it was +9. Another way to view this is that when I marked benchmarks at 150PM the 30 year yielded 3.651 and now at ...
Posted in Uncategorized | Comments Off on Yield Curve Moves
Wednesday, March 19th, 2014
One fully paid up subscriber notes that this latest leg flatter in 5s 30s is a result of rookie mistake by Ms Yellen. When asked about "considerable time" in context of how long it would be before rate hikes begin after taper finished she did not temporize or speak elliptically ...
Posted in Uncategorized | Comments Off on Rookie Error
Wednesday, March 19th, 2014
Swap spreads tighter by about a basis points since the announcement. One salesman said the flow is two way at the moment and mostly it is traders unwinding positions.
I am also hearing in last few minutes of real money dip buyers in 2s and 3s.
As a point of interest I ...
Posted in Uncategorized | Comments Off on Miscellany