Archive for March, 2014

Bear Market in China

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 ...

Overnight Flows

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 ...

Mark Chandler on Yellen and the FOMC

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 ...

March 20 2014 Opening

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 ...

Swap Spreads

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. ...

MBS Commentary

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 ...

Flows

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).

Yield Curve Moves

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 ...

Rookie Error

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 ...

Miscellany

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 ...